Double-barriers-reflected BSDEs with jumps and viscosity solutions of parabolic integrodifferential PDEs

N. Harraj, Y. Ouknine and I. Turpin

International Journal of Stochastic Analysis, 2005, vol. 2005, 1-17

Abstract:

We give a probabilistic interpretation of the viscosity solutions of parabolic integrodifferential partial equations with two obstacles via the solutions of forward-backward stochastic differential equations with jumps.

Date: 2005
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnijsa:697624

DOI: 10.1155/JAMSA.2005.37

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