Stochastic PDIEs and backward doubly stochastic differential equations driven by Lévy processes
✍ Scribed by Yong Ren; Aihong Lin; Lanying Hu
- Publisher
- Elsevier Science
- Year
- 2009
- Tongue
- English
- Weight
- 516 KB
- Volume
- 223
- Category
- Article
- ISSN
- 0377-0427
No coin nor oath required. For personal study only.
📜 SIMILAR VOLUMES
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 exam
In this paper, we derive the existence and uniqueness of the solution for a class of generalized reflected backward stochastic differential equations (GRBSDEs in short) driven by a Lévy process, which involve the integral with respect to a continuous process by means of the Snell envelope, the penal