Path-Dependent BSDEs with Jumps and Their Connection to PPIDEs

35 Pages Posted: 27 May 2015 Last revised: 9 Sep 2016

See all articles by Eduard Kromer

Eduard Kromer

University of California, Berkeley

Ludger Overbeck

University of Giessen

Jasmin Röder

University of Giessen

Date Written: July 19, 2016

Abstract

We study path-dependent backward stochastic differential equations (BSDEs) with jumps. In this context path-dependence of a BSDE is the dependence of the BSDE-terminal condition and the BSDE-generator of a path of a càdlàg process. We study the path-differentiability of BSDEs of this type and establish a connection to path-dependent PIDEs in terms of the existence of a viscosity solution and the respective Feynman-Kac theorem.

Keywords: path-dependent backward stochastic differential equation; jump diffusion; path-dependent PIDE; functional Feynman-Kac theorem; path-differentiability; viscosity solution; functional Itô formula

Suggested Citation

Kromer, Eduard and Overbeck, Ludger and Röder, Jasmin, Path-Dependent BSDEs with Jumps and Their Connection to PPIDEs (July 19, 2016). Available at SSRN: https://ssrn.com/abstract=2610621 or http://dx.doi.org/10.2139/ssrn.2610621

Eduard Kromer

University of California, Berkeley ( email )

Evans Hall
Berkeley, CA 3860 94720
United States

Ludger Overbeck

University of Giessen ( email )

Institut of Mathematics
Giessen, 35394
Germany

Jasmin Röder (Contact Author)

University of Giessen ( email )

Arndtstr. 2
Giessen, 35392
Germany

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