{
  "id": "1208.0763",
  "version": "v2",
  "published": "2012-08-03T14:45:07.000Z",
  "updated": "2014-05-27T13:32:58.000Z",
  "title": "Second Order BSDEs with Jumps: Existence and probabilistic representation for fully-nonlinear PIDEs",
  "authors": [
    "M. Nabil Kazi-Tani",
    "Dylan Possamaï",
    "Chao Zhou"
  ],
  "comment": "39 pages",
  "categories": [
    "math.PR",
    "q-fin.PM",
    "q-fin.RM"
  ],
  "abstract": "In this paper, we pursue the study of second order BSDEs with jumps (2BSDEJs for short) started in our accompanying paper [15]. We prove existence of these equations by a direct method, thus providing complete wellposedness for 2BSDEJs. These equations are a natural candidate for the probabilistic interpretation of some fully non-linear partial integro-differential equations, which is the point of the second part of this work. We prove a non-linear Feynman-Kac formula and show that solutions to 2BSDEJs provide viscosity solutions of the associated PIDEs.",
  "revisions": [
    {
      "version": "v2",
      "updated": "2014-05-27T13:32:58.000Z"
    }
  ],
  "analyses": {
    "keywords": [
      "second order bsdes",
      "probabilistic representation",
      "fully-nonlinear pides",
      "fully non-linear partial integro-differential equations",
      "non-linear feynman-kac formula"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 39,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2012arXiv1208.0763K"
    }
  }
}