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摘要翻译：
本文对文[15]中开始的带跳跃的二阶BSDEs（简称2BSDEJs）进行了研究。我们用直接方法证明了这些方程的存在性，从而给出了2BSDEJS的完全适定性。这些方程是一些完全非线性偏积分微分方程的概率解释的自然候选，这是本文第二部分工作的重点。我们证明了一个非线性Feynman-Kac公式，并证明了2BSDEJS的解提供了相关PIDE的粘度解。
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英文标题：
《Second Order BSDEs with Jumps: Existence and probabilistic
representation for fully-nonlinear PIDEs》
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作者：
M. Nabil Kazi-Tani, Dylan Possama\"i, Chao Zhou
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最新提交年份：
2014
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分类信息：
一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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英文摘要：
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.
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PDF链接：
https://arxiv.org/pdf/1208.0763
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