Second Order BSDEs with Jumps: Existence and probabilistic representation for fully-nonlinear PIDEs

M. Nabil Kazi-Tani, Dylan Possama\"i and Chao Zhou

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Abstract: In this paper, we pursue the study of second order BSDEs with jumps (2BSDEJs for short) started in our accompanying paper [15]. 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.

Date: 2012-08, Revised 2014-05
New Economics Papers: this item is included in nep-upt
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