arXiv subjects

Lamine Sylla

Publications and source records attributed to Lamine Sylla.

2 recordsLinked to original sources

arXiv2018

Reflected backward stochastic differentialequation with jumps and viscosity solution of second order integro-differential equation without monotonicity condition: case with the measure of Levy infinite

We consider the problem of viscosity solution of integro-partial differential equation(IPDE in short) with one obstacle via the solution of reflected backward stochastic differential equations(RBSDE in short) with jumps. We show existence and uniqueness of a continuous viscosity solution of equation with non local terms, in case the generator is not monotonous and Levy's measure is infinite.

math.PR↗

arXiv2018

Another method of viscosity solutions of integro-differential partial equation by concavity

In this paper we consider the problem of viscosity solution of integro-partial differential equation(IPDE in short) via the solution of backward stochastic differential equations(BSDE in short) with jumps where L\'evy's measure is not necessarily infinite. We mainly use the concavity of the generator at the level of its second variable to establish the existence and uniqueness of the solution with non local terms.

math.PR↗