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NONLINEAR DEGENERATE INTEGRO-PARTIAL DIFFERENTIAL EVOLUTION EQUATIONS RELATED TO GEOMETRIC LÉVY PROCESSES AND APPLICATIONS TO BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS
(Research report / Forskningsrapport, 2004)
We prove a comparison principle for unbounded semicontinuous viscosity sub- and supersolutions of nonlinear degenerate parabolic integro-partial differential equations coming from applications in mathematical finance in ...
ERROR ESTIMATES FOR APPROXIMATE SOLUTIONS TO BELLMAN EQUATIONS ASSOCIATED WITH CONTROLLED JUMP-DIFFUSIONS
(Research report / Forskningsrapport, 2005)
We derive error estimates for approximate (viscosity) solutions of Bellman equations associated to controlled jump-diffusion processes, which are fully nonlinear integro-partial differential equations. Two main results are ...