Journal of Shanghai Jiaotong University ›› 2012, Vol. 46 ›› Issue (09): 1522-1528.

• Mathematics • Previous Articles     Next Articles

BSDEs and Viscosity Solutions of the Associated System with Partial Integro-Differential Equations

 RAN  Qi-Kang-a, b   

  1. (a. Department of Applied  Mathematics; b. Shanghai Key Laboratory of Financial Information Technology, Shanghai  University  of Finance and  Economics,  Shanghai 200433, China)  
  • Received:2011-04-21 Online:2012-09-28 Published:2012-09-28

Abstract:  An existence result and A uniqueness result of a  backward stochastic  differential equation driven by Teugels martingales associated with a Lévy process were obtained.  It is also shown that under some- conditions the solution of the BSDE provides a unique viscosity solution of the associated system with partial integro-differential equations.  

Key words: forward-backward stochastic differential equations, Teugel’s , martingales, partial integro-differential equations, viscosity solutions