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

DOI10.1007/S10114-012-0506-4MaRDI QIDQ1928126zbMATH OpenOpenAlexFDO

Authors Auguste Aman, Jean-Marc Owo

Publication date 2 January 2013

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

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)

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.

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Cited in

(11)

• Anticipated backward stochastic differential equations driven by the Teugels martingales
• Infinite horizon forward-backward doubly stochastic differential equations and related SPDEs
• Generalized backward doubly stochastic differential equations driven by Lévy processes with discontinuous and linear growth coefficients
• Generalized BSDE driven by a Lévy process
• Generalized backward doubly stochastic differential equations driven by Lévy processes with non-Lipschitz coefficients
• Stochastic PDIEs and backward doubly stochastic differential equations driven by Lévy processes
• Backward doubly SDEs with continuous and stochastic linear growth coefficients
• \(L^p\)-estimates of solutions of backward doubly stochastic differential equations
• Comparison theorem of backward doubly stochastic differential equations driven by Lévy processes and application
• Penalization method for reflected BDSDEs with two-sided jumps and driven by Lévy process
• Backward doubly stochastic differential equation driven by Lévy process: a comparison theorem

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