IDEAS home Printed from
   My bibliography  Save this paper

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


  • M. Nabil Kazi-Tani
  • Dylan Possamai
  • Chao Zhou


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.

Suggested Citation

  • M. Nabil Kazi-Tani & Dylan Possamai & Chao Zhou, 2012. "Second Order BSDEs with Jumps: Existence and probabilistic representation for fully-nonlinear PIDEs," Papers 1208.0763,, revised May 2014.
  • Handle: RePEc:arx:papers:1208.0763

    Download full text from publisher

    File URL:
    File Function: Latest version
    Download Restriction: no

    References listed on IDEAS

    1. Ying Hu & Peter Imkeller & Matthias Muller, 2005. "Utility maximization in incomplete markets," Papers math/0508448,
    Full references (including those not matched with items on IDEAS)


    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.

    Cited by:

    1. Dylan Possamai & Guillaume Royer & Nizar Touzi, 2013. "On the Robust superhedging of measurable claims," Papers 1302.1850,, revised Feb 2013.

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:1208.0763. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (arXiv administrators). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.