Date: Wednesday, March 30, 2016
Location: 1360 East Hall (4:00 PM to 5:00 PM)
Title: Viscosity solutions of pathdependent integrodifferential equations
Abstract: We extend the notion of viscosity solutions for pathdependent PDEs introduced by Ekren et al. [Ann. Probab. 42 (2014), no. 1, 204236] to pathdependent integrodifferential equations and establish wellposedness, i.e., existence, uniqueness, and stability, for a class of semilinear pathdependent integrodifferential equations with uniformly continuous data. Closely related are nonMarkovian backward SDEs with jumps, which provide a probabilistic representation for solutions of our equations. The results are potentially useful for applications using nonMarkovian jump–diffusion models.
Files: 3741_MichiganMarch2016.pdf
Speaker: Christian Keller
Institution: UM
Event Organizer: Erhan Bayraktar erhan@umich.edu
