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On solutions to backward stochastic partial differential equations for Lévy processes

✍ Scribed by Qing Zhou; Yong Ren; Weixing Wu

Publisher
Elsevier Science
Year
2011
Tongue
English
Weight
261 KB
Volume
235
Category
Article
ISSN
0377-0427

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✦ Synopsis

In this paper, we prove the existence and uniqueness of the solution for a class of backward stochastic partial differential equations (BSPDEs, for short) driven by the Teugels martingales associated with a Lévy process satisfying some moment conditions and by an independent Brownian motion. An example is given to illustrate the theory.

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