Regularity properties of viscosity solutions of integro-partial differential equations of Hamilton–Jacobi–Bellman type
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DOI: 10.1016/j.spa.2012.09.012
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- Royer, Manuela, 2006. "Backward stochastic differential equations with jumps and related non-linear expectations," Stochastic Processes and their Applications, Elsevier, vol. 116(10), pages 1358-1376, October.
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Keywords
Backward stochastic differential equations; Brownian motion; Poisson random measure; Time change; Kulik transformation; Lipschitz continuity; Semiconcavity; Viscosity solution; Value function;All these keywords.
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