Generalized backward doubly stochastic differential equations driven by L\'evy processes with continuous coefficients

Auguste Aman; Jean Marc Owo

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arXiv · 1011.3218

Generalized backward doubly stochastic differential equations driven by L\'evy processes with continuous coefficients

Auguste Aman·Jean Marc Owo

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Abstract

A new class of generalized backward doubly stochastic differential equations (GBDSDEs in short) driven by Teugels martingales associated with L\'evy process are investigated. We establish a comparison theorem which allows us to derive an existence result of solutions under continuous and linear growth conditions.

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Auguste Aman, Jean Marc Owo. 2010-11-14. Generalized backward doubly stochastic differential equations driven by L\'evy processes with continuous coefficients. https://arxiv.org/abs/1011.3218

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