Generalized backward doubly stochastic differential equations driven by L\'evy processes with continuous coefficients
Probability
2011-08-04 v2
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.
Keywords
Cite
@article{arxiv.1011.3218,
title = {Generalized backward doubly stochastic differential equations driven by L\'evy processes with continuous coefficients},
author = {Auguste Aman and Jean Marc Owo},
journal= {arXiv preprint arXiv:1011.3218},
year = {2011}
}
Comments
The version has been greatly improved and is accepted for publication in Acta Mathematica Sinica