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

DOI10.1007/s10959-023-01270-9arXiv2111.03692MaRDI QIDQ6091973

Auguste Aman, Jean-Marc Owo

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

Lévy processescomparison theorembackward doubly stochastic differential equationsTeugels martingalescontinuous and linear growth conditions

Mathematics Subject Classification ID

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

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