Multivalued stochastic partial differential-integral equations via backward doubly stochastic differential equations driven by a Lévy process

MaRDI QIDQ352763zbMATH OpenFDO

Authors Auguste Aman, Yong Ren

Publication date 5 July 2013

Published in African Diaspora Journal of Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1011.3060, https://projecteuclid.org/euclid.adjm/1351864730

zbMATH Keywords

subdifferential operatorbackward doubly stochastic differential equationmultivalued stochastic partial differential-integral equationTeugels martingaleLévy process

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Abstract: In this paper, we deal with a class of backward doubly stochastic differential equations (BDSDEs, in short) involving subdifferential operator of a convex function and driven by Teugels martingales associated with a L'evy process. We show the existence and uniqueness result by means of Yosida approximation. As an application, we give the existence of stochastic viscosity solution for a class of multivalued stochastic partial differential-integral equations (MSPIDEs, in short).

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Cited in

(6)

• Multivalued stochastic integration and backward stochastic differential inclusions
• Stochastic PDIEs and backward doubly stochastic differential equations driven by Lévy processes
• Yosida approximations for multivalued stochastic partial differential equations driven by Lévy noise on a Gelfand triple
• MULTIVALUED STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS VIA BACKWARD DOUBLY STOCHASTIC DIFFERENTIAL EQUATIONS
• Reflected solutions of generalized anticipated backward double stochastic differential equations
• Stochastic PDIEs with nonlinear Neumann boundary conditions and generalized backward doubly stochastic differential equations driven by Lévy processes

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