论文标题
BSDE的Feynman-KAC公式，具有跳跃和与路径依赖性非线性Kolmogorov方程相关的时间延迟发电机
Feynman-Kac formula for BSDEs with jumps and time delayed generators associated to path-dependent nonlinear Kolmogorov equations
论文作者
论文摘要
我们考虑一个前向后的随机微分方程（FBSDE）的系统，并具有时间延迟的发电机，并由Lèvy-Type噪声驱动。我们建立了一个非线性Feynman kac表示公式，将FBSDES系统给出的解决方案与依赖性的非线性Kolmogorov方程的解决方案以及延迟和跳跃的解决方案。然后将获得的结果应用于研究所谓的大型投资者问题的概括，在这种问题中，股票价格根据跳跃动态而发展。
We consider a system of Forward Backward Stochastic Differential Equations (FBSDEs), with time delayed generator and driven by Lèvy-type noise. We establish a non linear Feynman Kac representation formula associating the solution given by the FBSDEs-system to the solution of a path dependent nonlinear Kolmogorov equation with both delay and jumps. Obtained results are then applied to study a generalization of the so-called Large Investor Problem where the stock price evolves according to a jump-diffusion dynamic.
