|Date: Wednesday, March 30, 2016
Location: 1360 East Hall (4:00 PM to 5:00 PM)
Title: Viscosity solutions of path-dependent integro-differential equations
Abstract: We extend the notion of viscosity solutions for path-dependent PDEs introduced by Ekren et al. [Ann. Probab. 42 (2014), no. 1, 204-236] to path-dependent integro-differential equations and establish well-posedness, i.e., existence, uniqueness, and stability, for a class of semilinear path-dependent integro-differential equations with uniformly continuous data. Closely related are non-Markovian backward SDEs with jumps, which provide a probabilistic representation for solutions of our equations. The results are potentially useful for applications using non-Markovian jump–diffusion models.
Speaker: Christian Keller
Event Organizer: Erhan Bayraktar email@example.com