On solutions to backward stochastic partial differential equations for Lévy processes (Q719427)
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| Language | Label | Description | Also known as |
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| English | On solutions to backward stochastic partial differential equations for Lévy processes |
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On solutions to backward stochastic partial differential equations for Lévy processes (English)
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10 October 2011
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The authors give a result on the existence and uniqueness of the solution for a class of backward stochastic partial differential equations driven by the Teugels martingales associated with a Lévy process satisfying some moment condition and by an independent Brownian motion, and propose an example to illustrate the theoretical result.
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backward stochastic partial differential equation
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Lévy process
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Teugels martingale
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numerical example
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Brownian motion
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