Abstract
In this paper, we pursue the study of second order BSDEs with jumps (2BSDEJs for short) started in an accompanying paper. We prove existence of these equations by a direct method, thus providing complete wellposedness for 2BSDEJs. These equations are a natural candidate for the probabilistic interpretation of some fully non-linear partial integro-differential equations, which is the point of the second part of this work. We prove a non-linear Feynman-Kac formula and show that solutions to 2BSDEJs provide viscosity solutions of the associated PIDEs.
Citation
Nabil Kazi-Tani. Dylan Possamaï. Chao Zhou. "Second order BSDEs with jumps: existence and probabilistic representation for fully-nonlinear PIDEs." Electron. J. Probab. 20 1 - 31, 2015. https://doi.org/10.1214/EJP.v20-3569
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