Stochastic PDIEs and backward doubly stochastic differential equations driven by Lévy processes

DOI10.1016/j.cam.2008.03.008zbMath1154.60336arXiv0807.2076OpenAlexW2071774526MaRDI QIDQ2378265

Lanying Hu, Yong Ren, Ai-Hong Lin

Publication date: 7 January 2009

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0807.2076

zbMATH Keywords

Lévy processTeugels martingalebackward doubly stochastic differential equationstochastic partial differential integral equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Stochastic integral equations (60H20)

Related Items (19)

Nonzero-sum differential game of backward doubly stochastic systems with delay and applications ⋮ Backward doubly stochastic equations with jumps and comparison theorems ⋮ Multivalued stochastic partial differential-integral equations via backward doubly stochastic differential equations driven by a Lévy process ⋮ Reflected backward doubly stochastic differential equations with discontinuous barrier ⋮ Forward-backward doubly stochastic differential equations and related stochastic partial differential equations ⋮ Penalization method for reflected BDSDEs with two-sided jumps and driven by Lévy process ⋮ RBDSDEs with jumps and optional Barrier and mean field game with common noise ⋮ Mean-field forward-backward doubly stochastic differential equations and related nonlocal stochastic partial differential equations ⋮ A class of backward doubly stochastic differential equations with discontinuous coefficients ⋮ Lp - estimates of solutions of backward doubly stochastic differential equations ⋮ On solutions of backward stochastic Volterra integral equations with jumps in Hilbert spaces ⋮ Reflected backward doubly stochastic differential equations driven by a Lévy process ⋮ On a class of backward doubly stochastic differential equations ⋮ Infinite horizon forward-backward doubly stochastic differential equations and related SPDEs ⋮ SPDIEs and BSDEs driven by Lévy processes and countable Brownian motions ⋮ Optimal control of mean-field backward doubly stochastic systems driven by Itô-Lévy processes ⋮ Stochastic PDIEs with nonlinear Neumann boundary conditions and generalized backward doubly stochastic differential equations driven by Lévy processes ⋮ Numerical Method for Reflected Backward Stochastic Differential Equations ⋮ On a class of backward stochastic Volterra integral equations

Cites Work

• Unnamed Item
• Unnamed Item
• Adapted solution of a backward stochastic differential equation
• Zero-sum stochastic differential games and backward equations
• Backward doubly stochastic differential equations and systems of quasilinear SPDEs
• BSDE associated with Lévy processes and application to PDIE
• Chaotic and predictable representations for Lévy processes.
• Probabilistic interpretation for systems of quasilinear parabolic partial differential equations
• Reflected backward stochastic differential equations with jumps
• Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
• Backward Stochastic Differential Equations in Finance
• Weak solutions for SPDE's and backward doubly stochastic differential equations
• Backward stochastic differential equations and Feynman-Kac formula for Lévy processes, with applications in finance
• Stochastic PDEs driven by nonlinear noise and backward doubly SDEs

This page was built for publication: Stochastic PDIEs and backward doubly stochastic differential equations driven by Lévy processes