Path-Dependent BSDEs with Jumps and Their Connection to PPIDEs

We study path-dependent backward stochastic differential equations (BSDEs) with jumps. In this context path-dependence of a BSDE is the dependence of the BSDE-terminal condition and the BSDE-generator of a path of a càdlàg process. We study the path-differentiability of BSDEs of this type and establish a connection to path-dependent PIDEs in terms of the existence of a viscosity solution and the respective Feynman-Kac theorem

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Year of publication:	2016
Authors:	Kromer, Eduard
Other Persons:	Overbeck, Ludger (contributor) ; Röder, Jasmin (contributor)
Publisher:	[2016]: [S.l.] : SSRN

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