Backward doubly stochastic equations with jumps and comparison theorems

DOI10.1016/J.JMAA.2016.05.050zbMATH Open1382.60084arXiv1601.04237OpenAlexW2963673283MaRDI QIDQ298152FDOQ298152

Authors: Wei Xu 

Publication date: 20 June 2016

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

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.

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

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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)

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Cited In (11)

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• Title not available (Why is that?)
• BDSDE with Poisson jumps under stochastic Lipschitz and linear growth conditions
• A comparison theorem and uniqueness theorem of backward doubly stochastic differential equations
• Uniqueness problem for SPDEs from population models
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• Backward doubly stochastic differential equation driven by Lévy process: a comparison theorem
• Sufficient Conditions of Optimality for Forward-Backward Doubly SDEs with Jumps

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