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

In: Mathematical and Statistical Methods for Actuarial Sciences and Finance

Author

Listed:
  • Luca Di Persio

    (University of Verona, Department of Computer Science)

  • Matteo Garbelli

    (University of Verona, Department of Computer Science
    University of Trento, Department of Mathematics)

  • Adrian Zalinescu

    (Alexandru Ioan Cuza University, Faculty of Computer Science)

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.

Suggested Citation

  • Luca Di Persio & Matteo Garbelli & Adrian Zalinescu, 2022. "Feynman-Kac Formula for BSDEs with Jumps and Time Delayed Generators Associated to Path-Dependent Nonlinear Kolmogorov Equations," Springer Books, in: Marco Corazza & Cira Perna & Claudio Pizzi & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 202-208, Springer.
    • Handle: RePEc:spr:sprchp:978-3-030-99638-3_33
    DOI: 10.1007/978-3-030-99638-3_33
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