Multivalued stochastic partial differential-integral equations via backward doubly stochastic differential equations driven by a L\'evy process
Probability
2011-08-04 v2
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).
Cite
@article{arxiv.1011.3060,
title = {Multivalued stochastic partial differential-integral equations via backward doubly stochastic differential equations driven by a L\'evy process},
author = {Yon Ren and Auguste Aman},
journal= {arXiv preprint arXiv:1011.3060},
year = {2011}
}
Comments
This version has been greatly improved and submitted for publication