Future Expectations Modeling, Random Coefficient Forward–Backward Stochastic Differential Equations, and Stochastic Viscosity Solutions

2020 ◽  
Vol 45 (2) ◽  
pp. 403-433
Author(s):  
Xanthi-Isidora Kartala ◽  
Nikolaos Englezos ◽  
Athanasios N. Yannacopoulos
Keyword(s):  
Differential Equations ◽  
Stochastic Differential Equations ◽  
Viscosity Solutions ◽  
Backward Stochastic Differential Equations ◽  
Random Coefficient ◽  
Future Expectations

scholarly journals Double-barriers-reflected BSDEs with jumps and viscosity solutions of parabolic integrodifferential PDEs

2005 ◽  
Vol 2005 (1) ◽  
pp. 37-53 ◽  
Author(s):  
N. Harraj ◽  
Y. Ouknine ◽  
I. Turpin
Keyword(s):  
Differential Equations ◽  
Stochastic Differential Equations ◽  
Viscosity Solutions ◽  
Backward Stochastic Differential Equations ◽  
Probabilistic Interpretation ◽  
Reflected Bsdes

We give a probabilistic interpretation of the viscosity solutions of parabolic integrodifferential partial equations with two obstacles via the solutions of forward-backward stochastic differential equations with jumps.

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