Generalized backward doubly stochastic differential equations driven by Lévy processes with continuous coefficients

DOI10.1007/S10114-012-0506-4zbMATH Open1259.60063arXiv1011.3218OpenAlexW2064930447MaRDI QIDQ1928126FDOQ1928126

Auguste Aman, Jean-Marc Owo

Publication date: 2 January 2013

Published in: Acta Mathematica Sinica, English Series (Search for Journal in Brave)

Abstract: A new class of generalized backward doubly stochastic differential equations (GBDSDEs in short) driven by Teugels martingales associated with L'evy process are investigated. We establish a comparison theorem which allows us to derive an existence result of solutions under continuous and linear growth conditions.

Full work available at URL: https://arxiv.org/abs/1011.3218

zbMATH Keywords

backward doubly stochastic differential equationscomparison theoremTeugels martingalescontinuous and linear growth conditionsLévy processes

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Central limit and other weak theorems (60F05)

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Cited In (5)

• Generalized backward doubly stochastic differential equations driven by Lévy processes with discontinuous and linear growth coefficients
• Infinite horizon forward-backward doubly stochastic differential equations and related SPDEs
• Lp - estimates of solutions of backward doubly stochastic differential equations
• Backward doubly SDEs with continuous and stochastic linear growth coefficients
• Penalization method for reflected BDSDEs with two-sided jumps and driven by Lévy process

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