Viscosity solutions of nonlinear integro-differential equations

被引：99
|
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
收藏
页码：293 / 317
页数：25
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