Backward doubly stochastic differential equation driven by Lévy process: a comparison theorem

DOI10.1007/s13370-013-0156-4zbMath1305.60043OpenAlexW2013470008WikidataQ115375875 ScholiaQ115375875MaRDI QIDQ485441

Ibrahima Faye, Ahmadou Bamba Sow

Publication date: 9 January 2015

Published in: Afrika Matematika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13370-013-0156-4

zbMATH Keywords

Lévy processGronwall lemmaPoisson random measureItō's formulabackward doubly stochastic differential equation

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Random measures (60G57)

Related Items (5)

Discontinuous backward doubly stochastic differential equations with Poisson jumps ⋮ Backward doubly SDEs and SPDEs with superlinear growth generators ⋮ Penalization method for reflected BDSDEs with two-sided jumps and driven by Lévy process ⋮ BDSDE with Poisson jumps under stochastic Lipschitz and linear growth conditions ⋮ Two-barriers reflected backward doubly SDEs beyond right continuity

Cites Work

• Adapted solution of a backward stochastic differential equation
• 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
• Adapted solutions of backward stochastic differential equations with non- Lipschitz coefficients
• Résultats d'existence et d'unicité pour des équations différentielles stochastiques rétrogrades avec des générateurs à croissance quadratique
• Comparison Theorems of Backward Doubly Stochastic Differential Equations and Applications
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