Backward doubly stochastic differential equation driven by Lévy process: a comparison theorem

DOI10.1007/S13370-013-0156-4MaRDI QIDQ485441zbMATH OpenOpenAlexWikidataFDO

Authors I. Faye, Ahmadou B. Sow

Publication date 9 January 2015

Published in Afrika Matematika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s13370-013-0156-4

zbMATH Keywords

Poisson random measureGronwall lemmabackward doubly stochastic differential equationLévy processItō's formula

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Random measures (60G57) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44) Stochastic integrals (60H05)

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Cites work

• scientific article; zbMATH DE number 5504888 (Why is no real title available?)
• Adapted solution of a backward stochastic differential equation
• Adapted solutions of backward stochastic differential equations with non- Lipschitz coefficients
• Backward doubly stochastic differential equations and systems of quasilinear SPDEs
• Backward doubly stochastic differential equations driven by Levi process: the case of non-Lipschitz coefficients
• Backward stochastic differential equations with continuous coefficient
• Backward stochastic differential equations with non-Lipschitz coefficients
• Comparison Theorems of Backward Doubly Stochastic Differential Equations and Applications
• Résultats d'existence et d'unicité pour des équations différentielles stochastiques rétrogrades avec des générateurs à croissance quadratique

Cited in

(10)

• BDSDE with Poisson jumps under stochastic Lipschitz and linear growth conditions
• Backward doubly stochastic differential equations driven by white noises and Poisson random measures
• Generalized backward doubly stochastic differential equations driven by Lévy processes with continuous coefficients
• Discontinuous backward doubly stochastic differential equations with Poisson jumps
• Backward doubly SDEs and SPDEs with superlinear growth generators
• A dual Yamada-Watanabe theorem for Lévy driven stochastic differential equations
• A comparison theorem for backward doubly stochastic differential equations with jumps
• Comparison theorem of backward doubly stochastic differential equations driven by Lévy processes and application
• Penalization method for reflected BDSDEs with two-sided jumps and driven by Lévy process
• Two-barriers reflected backward doubly SDEs beyond right continuity

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