Generalized backward doubly stochastic differential equations driven by L\'evy processes with non-Lipschitz coefficients

zbMath1244.60054arXiv0907.2785MaRDI QIDQ3003681

Auguste Aman, Jean-Marc Owo

Publication date: 30 May 2011

Full work available at URL: https://arxiv.org/abs/0907.2785

zbMATH Keywords

Lévy processes; backward stochastic differential equations; non-Lipschitz coefficients; Teugel martingales

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60H20: Stochastic integral equations