Abstract
This paper presents a probabilistic interpretation for the weak Sobolev solution of the obstacle problem for semilinear parabolic partial integro-differential equations (PIDEs). The results of Léandre [32] concerning the homeomorphic property for the solution of SDEs with jumps are used to construct random test functions for the variational equation for such PIDEs. This results in the natural connection with the associated Reflected Backward Stochastic Differential Equations with jumps (RBSDEs), namely Feynman–Kac's formula for the solution of the PIDEs. Moreover, it gives an application to the pricing and hedging of contingent claims with constraints in the wealth or portfolio processes in financial markets including jumps.
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