Abstract
We give a probabilistic interpretation of the viscosity solutions of parabolic integrodifferential partial equations with two obstacles via the solutions of forward-backward stochastic differential equations with jumps.
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CITATION STYLE
APA
Harraj, N., Ouknine, Y., & Turpin, I. (2005). Double-barriers-reflected BSDEs with jumps and viscosity solutions of parabolic integrodifferential PDEs. Journal of Applied Mathematics and Stochastic Analysis, 2005(1), 37–53. https://doi.org/10.1155/JAMSA.2005.37
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