On solutions to backward stochastic partial differential equations for Lévy processes
type: Item
instance of: scholarly article
title: On solutions to backward stochastic partial differential equations for Lévy processes
zbMATH Open document ID: 1234.65020
author: Qing Zhou
author: Yong Ren
author: Weixing Wu
published in: Journal of Computational and Applied Mathematics
publication date: 2011-10-10T00:00:00Z
review text: The authors give a result on the existence and uniqueness of the solution for a class of backward stochastic partial differential equations driven by the Teugels martingales associated with a Lévy process satisfying some moment condition and by an independent Brownian motion, and propose an example to illustrate the theoretical result.
reviewed by: Jialin Hong
Mathematics Subject Classification ID: 65C30
Mathematics Subject Classification ID: 60H15
Mathematics Subject Classification ID: 60H30
Mathematics Subject Classification ID: 60G51
Mathematics Subject Classification ID: 60H35
Mathematics Subject Classification ID: 60J65
Mathematics Subject Classification ID: 35R60
zbMATH DE Number: 5955997
zbMATH Keywords: backward stochastic partial differential equation
zbMATH Keywords: Lévy process
zbMATH Keywords: Teugels martingale
zbMATH Keywords: numerical example
zbMATH Keywords: Brownian motion
MaRDI profile type: Publication
full work available at URL: j.cam.2011.06.002
OpenAlex ID: W2171111916
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DOI: 10.1016/J.CAM.2011.06.002
description: scientific article; zbMATH DE number 5955997