Backward doubly stochastic equations with jumps and comparison theorems

DOI10.1016/J.JMAA.2016.05.050MaRDI QIDQ298152zbMATH OpenOpenAlexFDO

Authors Wei Xu

Publication date 20 June 2016

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1601.04237

zbMATH Keywords

backward doubly stochastic differential equationscomparison theoremGaussian white noisejump

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Comparison principles in context of PDEs (35B51) PDEs with randomness, stochastic partial differential equations (35R60)

Abstract: In this work we mainly prove the existence and pathwise uniqueness of solutions to general backward doubly stochastic differential equations with jumps appearing in both forward and backward integral parts. Several comparison theorems under some weak conditions are also given. Finally we apply comparison theorems in proving the existence of solution to some special backward doubly stochastic differential equations with drift coefficient increasing linearly.

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Cites work

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Cited in

(11)

• scientific article; zbMATH DE number 5181711 (Why is no real title available?)
• scientific article; zbMATH DE number 7572906 (Why is no real title available?)
• BDSDE with Poisson jumps under stochastic Lipschitz and linear growth conditions
• A comparison theorem and uniqueness theorem of backward doubly stochastic differential equations
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• A comparison theorem for backward doubly stochastic differential equations with jumps
• A class of conformable backward stochastic differential equations with jumps
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• The property for solutions of the multi-dimensional backward doubly stochastic differential equations with jumps
• Sufficient Conditions of Optimality for Forward-Backward Doubly SDEs with Jumps

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