A general and sharp regularity condition for integro-differential equations with non-dominated measures

Abstract

The aim of this work is to present the regularity condition (also known in the literature as structure condition) an integro-differential operator may satisfy in order for the domination principle to hold for (sub-,super-) solutions of polynomial growth. More precisely, the framework presented in Hollender [13], in which power functions are used in order to determine the integrability conditions, is weakened by substituting the power functions with Young functions. The use of Young functions allows for sharp integrability conditions, which are crucial when one deals with limit theorems. As an immediate application, it is considered the case of parabolic Hamilton-Jacobi-Bellman (HJB) operators, for which the regularity condition is satisfied and, consequently, the comparison principle as well. The parabolic HJB operator presented in this work can be associated to second-order (decoupled) forward-backward stochastic differential equations with jumps.