References
- Alvarez , O. and Tourin , A. “ Viscosity solutions of nonlinear integro-differential equations, Annales de l'Institut Henri Poinearé ” . In Analyse non Lineairé, à paraitre
- Barles , G. 1994 . “ Solutions de viscosityé des équations de Hamilton-Jacobi ” . In Mathématiques et Applications , Vol. 17 , Springer .
- Buckdahn , R. and Pardoux , E. “ BSDE's with jumps and associated integral-stochastic differential equations ” . preprint
- Crandall , M.G. , Ishii , H. and Lions , P.L. 1994 . User's guide to viscosity solutions of second order partial differential equations . Bull. Amer. Soc. , 27 : 1 – 67 .
- Fujiwara , T. and Kunitha , H. 1989 . Stochastic differential equations of Jump type and Lévy processes in diffeomorphism group . J. Math. Kyoto Univ. , 25 ( 1 ) : 71 – 106 .
- Ikeda , N. and Watanabe , S. 1981 . Stochastic Differential Equations and Diffusion Processes , North Holland/Kodanska .
- Ishii , J. and Koike , S. 1991 . Viscosity solutions for monotone systems of second-order elliptic PDes . Commun. in Partial Diff. Equ. , 16 ( 6 & 7 ) : 1095 – 1128 .
- Pardoux , E. and Peng , S. 1990 . Adapted solution of a backward stochastic differential equation . Syst.Control Lett. , 14 ( 6 & 7 ) : 55 – 61 .
- Pardoux , E. and Peng , S. 1992 . “ Backward stochastic differential equations and quasilinear parabolic partial differential equations ” . In Stochastic partial differential equations and their applications , Led. Notes Control Inf. Sci Edited by: Rozovskii , B.L. and Sowers , R.B. Vol. 176 , 200 – 217 . Berlin, Heidelberg, New York : Springer .
- Sayah , A. 1991 . Equations d'Hamilton-Jacobi du premier ordre avec termes intégro-différentiels: Partie I: Unicité des solutions de viscosité Partie II: Existence des solutions de viscosité . Comm. in Partial Diff. Eq. , 16 ( 6 & 7 ) : 1057 – 1093 .
- Soner , H.M. 1988 . “ Optimal control of jump-Markov processes and viscosity solutions ” . In IMA Math. Appl , Edited by: Fleming , W.H. and Lions , P.L. Vol. 10 , 501 – 511 . Berlin : Springer .
- Tang , S. and Li , X. 1994 . Necessary conditions for optimal control of stochastic systems with random jumps . SIAM J. Control and Optim. , 32 : 1447 – 1475 .