We consider the problem of viscosity solution of integro-partial differential equation(IPDE in short) with one obstacle via the solution of reflected backward stochastic differential equations(RBSDE in short) with jumps. We show the existence and uniqueness of a continuous viscosity solution of equation with non local terms, if the generator is not monotonous and Levy's measure is infinite.
Lamine SYLLA
. REFLECTED BACKWARD STOCHASTIC DIFFERENTIAL EQUATION WITH JUMPS AND VISCOSITY SOLUTION OF SECOND ORDER INTEGRO-DIFFERENTIAL EQUATION WITHOUT MONOTONICITY CONDITION: CASE WITH THE MEASURE OF LÉVY INFINITE[J]. Acta mathematica scientia, Series B, 2019
, 39(3)
: 819
-844
.
DOI: 10.1007/s10473-019-0312-5
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