Generalized backward doubly stochastic differential equations driven by Lévy processes with discontinuous and linear growth coefficients

DOI10.1007/S10959-023-01270-9MaRDI QIDQ6091973zbMATH OpenFDO

Authors Jean-Marc Owo, Auguste Aman

Publication date 21 November 2023

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2111.03692

zbMATH Keywords

backward doubly stochastic differential equationscomparison theoremTeugels martingalescontinuous and linear growth conditionsLévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Abstract: This paper deals with generalized backward doubly stochastic differential equations driven by a L'evy process (GBDSDEL, in short). Under left or right continuous and linear growth conditions, we prove the existence of minimal (resp. maximal) solutions.

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Cited in

(2)

• Generalized BSDEs for time inhomogeneous Lévy processes under non-deterministic Lipschitz coefficient
• Generalized backward doubly stochastic differential equations driven by Lévy processes with continuous coefficients

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