Feynman-Kac formula for BSDEs with jumps and time delayed generators associated to path-dependent nonlinear Kolmogorov equations

被引：0
|
作者：
Di Persio, Luca [1 ]
Garbelli, Matteo [2 ]
Zalinescu, Adrian [3 ]
机构：
[1] Univ Verona, Dept Comp Sci, Str Grazie 15, I-37134 Verona, Italy
[2] Univ Trento, Dept Math, Via Sommar 14, I-38123 Povo, Trento, Italy
[3] Alexandru Ioan Cuza Univ, Fac Comp Sci, Gen Berhtelot St 16, Iasi 700483, Romania
来源：
NODEA-NONLINEAR DIFFERENTIAL EQUATIONS AND APPLICATIONS | 2023年 / 30卷 / 06期
关键词：
Feynman-Kac formula; Jump-diffusion; Delay; Non linear BSDE; STOCHASTIC DIFFERENTIAL-EQUATIONS; CALCULUS; DRIVEN;
D O I：
10.1007/s00030-023-00879-3
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
We consider a system of forward backward stochastic differential equations (FBSDEs) with a time-delayed generator driven by Levy-type noise. We establish a non-linear Feynman-Kac representation formula associating the solution given by the FBSDEs system to the solution of a path dependent nonlinear Kolmogorov equation with both delay and jumps. Obtained results are then applied to study a generalization of the so-called large investor problem, where the stock price evolves according to a jump-diffusion dynamic.
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页数：36
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