Multivalued stochastic partial differential-integral equations via backward doubly stochastic differential equations driven by a L\'evy process

Yon Ren; Auguste Aman

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arXiv · 1011.3060

Multivalued stochastic partial differential-integral equations via backward doubly stochastic differential equations driven by a L\'evy process

Yon Ren·Auguste Aman

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Abstract

In this paper, we deal with a class of backward doubly stochastic differential equations (BDSDEs, in short) involving subdifferential operator of a convex function and driven by Teugels martingales associated with a L\'evy process. We show the existence and uniqueness result by means of Yosida approximation. As an application, we give the existence of stochastic viscosity solution for a class of multivalued stochastic partial differential-integral equations (MSPIDEs, in short).

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Yon Ren, Auguste Aman. 2010-11-12. Multivalued stochastic partial differential-integral equations via backward doubly stochastic differential equations driven by a L\'evy process. https://arxiv.org/abs/1011.3060

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