On solutions to backward stochastic partial differential equations for Lévy processes
DOI10.1016/j.cam.2011.06.002zbMath1234.65020MaRDI QIDQ719427
Qing Zhou, Yong Ren, Weixing Wu
Publication date: 10 October 2011
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2011.06.002
numerical example; Brownian motion; Lévy process; Teugels martingale; backward stochastic partial differential equation
60G51: Processes with independent increments; Lévy processes
60J65: Brownian motion
60H30: Applications of stochastic analysis (to PDEs, etc.)
60H15: Stochastic partial differential equations (aspects of stochastic analysis)
35R60: PDEs with randomness, stochastic partial differential equations
60H35: Computational methods for stochastic equations (aspects of stochastic analysis)
65C30: Numerical solutions to stochastic differential and integral equations
