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

zbMATH Open1271.60066arXiv1011.3060MaRDI QIDQ352763FDOQ352763

Authors: Auguste Aman, Yong Ren 

Publication date: 5 July 2013

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

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).

Full work available at URL: https://arxiv.org/abs/1011.3060

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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)

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Cited In (6)

• 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
• Stochastic PDIEs and backward doubly stochastic differential equations driven by Lévy processes
• Stochastic PDIEs with nonlinear Neumann boundary conditions and generalized backward doubly stochastic differential equations driven by Lévy processes
• Reflected solutions of generalized anticipated backward double stochastic differential equations
• Multivalued stochastic integration and backward stochastic differential inclusions

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