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arXiv · 1603.07907

Integro-partial differential equations with singular terminal condition

Alexandre Popier
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Abstract

In this paper, we show that the minimal solution of a backward stochastic differential equation gives a probabilistic representation of the minimal viscosity solution of an integro-partial differential equation both with a singular terminal condition. Singularity means that at the final time, the value of the solution can be equal to infinity. Different types of regularity of this viscosity solution are investigated: Sobolev, H{\"o}lder or strong regularity.

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Alexandre Popier. 2016-03-25. Integro-partial differential equations with singular terminal condition. https://arxiv.org/abs/1603.07907

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