BSDEs with jumps and path-dependent parabolic integro-differential equations

Abstract

This paper deals with backward stochastic differential equations with jumps, whose data (the terminal condition and coefficient) are given functions of jump-diffusion process paths. The author introduces a type of nonlinear path-dependent parabolic integrodifferential equations, and then obtains a new type of nonlinear Feynman-Kac formula related to such BSDEs with jumps under some regularity conditions.

Keywords

Backward stochastic differential equations / Jump-diffusion processes / Itô integral and Itô calculus / Path-dependent parabolic integro-differential equations

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