一类倒向随机微分方程对应的二阶偏微分方程的粘性解

BSDEs and Viscosity Solutions of the Associated System with Partial Integro-Differential Equations

讨论了一类带有Lévy过程的正倒向随机微分方程对应的二阶偏微分方程的粘性解.在系数满足Lipschitz条件下,证明了粘性解的存在性及惟一性.

An existence result and A uniqueness result of a backward stochastic differential equation driven by Teugels martingales associated with a Levy process were obtained. It is also shown that under some conditions the solution of the BSDE provides a unique viscosity solution of the associated system with par tial integro-differential equations.