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

DOI10.1007/s13370-013-0156-4zbMath1305.60043OpenAlexW2013470008WikidataQ115375875 ScholiaQ115375875MaRDI QIDQ485441

Ibrahima Faye, Ahmadou Bamba 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

Lévy processGronwall lemmaPoisson random measureItō's formulabackward doubly stochastic differential equation

Mathematics Subject Classification ID

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

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Discontinuous backward doubly stochastic differential equations with Poisson jumps, Backward doubly SDEs and SPDEs with superlinear growth generators, Penalization method for reflected BDSDEs with two-sided jumps and driven by Lévy process, BDSDE with Poisson jumps under stochastic Lipschitz and linear growth conditions, Two-barriers reflected backward doubly SDEs beyond right continuity

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