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Viability property for a backward stochastic differential equation and applications to partial differential equations

✍ Scribed by Rainer Buckdahn; Marc Quincampoix; Aurel Răşcanu


Publisher
Springer
Year
2000
Tongue
English
Weight
142 KB
Volume
116
Category
Article
ISSN
1432-2064

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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