BDSDE with Poisson jumps under stochastic Lipschitz and linear growth conditions

DOI10.1142/S0219493718500399zbMath1401.60106OpenAlexW2767284558MaRDI QIDQ4687205

Yaya Sagna, Ahmadou Bamba Sow

Publication date: 11 October 2018

Published in: Stochastics and Dynamics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219493718500399

zbMATH Keywords

Poisson random measurebackward doubly stochastic differential equationstochastic Lipschitz condition

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Stochastic integrals (60H05)

Related Items (3)

Penalization method for reflected BDSDEs with two-sided jumps and driven by Lévy process ⋮ Irregular barrier reflected BDSDEs with general jumps under stochastic Lipschitz and linear growth conditions ⋮ Two-barriers reflected backward doubly SDEs beyond right continuity

Cites Work

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• Backward doubly stochastic differential equation driven by Lévy process: a comparison theorem
• Adapted solution of a backward stochastic differential equation
• RBSDEs with stochastic monotone and polynomial growth condition
• Backward stochastic differential equations with non-Lipschitz coefficients
• Backward doubly stochastic differential equations and systems of quasilinear SPDEs
• Backward stochastic differential equations with continuous coefficient
• Backward stochastic differential equations with stochastic monotone coefficients
• Backward doubly stochastic differential equations with stochastic Lipschitz condition
• Backward Stochastic Differential Equations in Finance
• Comparison Theorems of Backward Doubly Stochastic Differential Equations and Applications

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