Feynman-Kac Formula for BSDEs with Jumps and Time Delayed Generators Associated to Path-Dependent Nonlinear Kolmogorov Equations

Luca Di Persio, Matteo Garbelli () and Adrian Zalinescu
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Luca Di Persio: University of Verona, Department of Computer Science
Matteo Garbelli: University of Verona, Department of Computer Science
Adrian Zalinescu: Alexandru Ioan Cuza University, Faculty of Computer Science

A chapter in Mathematical and Statistical Methods for Actuarial Sciences and Finance, 2022, pp 202-208 from Springer

Abstract: Abstract We study a system of forward-backward stochastic differential equations (FBSDEs), with time delayed generator driven by a Lèvy-type noise, establishing a non-linear Feynman-Kac representation formula to associate the BSDE solution to a path dependent nonlinear Kolmogorov equation. We also provide two financial applications: a generalization of the Large Investor Problem and an insurance investment type model.

Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-030-99638-3_33

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DOI: 10.1007/978-3-030-99638-3_33

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