Viscosity solutions of nonlinear integro-differential equations

被引：101

作者：

Alvarez, O

Tourin, A

机构：

[1] CEREMADE, Universite Paris IX-Dauphine, Place de Lattre de Tassigny

来源：

ANNALES DE L INSTITUT HENRI POINCARE-ANALYSE NON LINEAIRE | 1996年 / 13卷 / 03期

关键词：

viscosity solutions; nonlinear integro-differential parabolic PDE; stochastic differential utility;

D O I：

10.1016/S0294-1449(16)30106-8

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We investigate the questions of the existence and uniqueness of viscosity solutions to the Cauchy problem for integro-differential PDEs with nonlinear integral term. The existence of a solution is established by considering semicontinuous subsolutions and supersolutions and applying Perron's method. Uniqueness is proved for both bounded and unbounded solutions. These results are then applied to a problem arising in Finance, namely the stochastic differential utility model under mixed Poisson-Brownian information.

引用

页码：293 / 317

页数：25

共 12 条

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[Anonymous], IMA VOL MATH APPL

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