On solutions to backward stochastic partial differential equations for Lévy processes

DOI10.1016/J.CAM.2011.06.002zbMath1234.65020OpenAlexW2171111916MaRDI QIDQ719427

Weixing Wu, Qing Zhou, Yong Ren

Publication date: 10 October 2011

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2011.06.002

zbMATH Keywords

numerical exampleBrownian motionLévy processTeugels martingalebackward stochastic partial differential equation

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Brownian motion (60J65) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (3)

Forward-backward SDEs driven by Lévy process in stopping time duration ⋮ Optimal insider control of stochastic partial differential equations ⋮ Existence and uniqueness of solutions to backward 2D and 3D stochastic convective Brinkman-Forchheimer equations forced by Lévy noise

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