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Stochastic PDIEs with nonlinear Neumann boundary conditions and generalized backward doubly stochastic differential equations driven by Lévy processes

✍ Scribed by Lanying Hu; Yong Ren


Publisher
Elsevier Science
Year
2009
Tongue
English
Weight
608 KB
Volume
229
Category
Article
ISSN
0377-0427

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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