Second Order BSDEs with Jumps: Existence and probabilistic representation for fully-nonlinear PIDEs
In this paper, we pursue the study of second order BSDEs with jumps (2BSDEJs for short) started in our accompanying paper . 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.
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- Ying Hu & Peter Imkeller & Matthias Muller, 2005. "Utility maximization in incomplete markets," Papers math/0508448, arXiv.org.
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