Reflected generalized backward doubly SDEs driven by L\'evy processes and Applications
Probability
2009-07-14 v1
Abstract
In this paper, a class of reflected generalized backward doubly stochastic differential equations (reflected GBDSDEs in short) driven by Teugels martingales associated with L\'{e}vy process and the integral with respect to an adapted continuous increasing process is investigated. We obtain the existence and uniqueness of solutions to these equations. A probabilistic interpretation for solutions to a class of reflected stochastic partial differential integral equations (PDIEs in short) with a nonlinear Neumann boundary condition is given.
Keywords
Cite
@article{arxiv.0907.2037,
title = {Reflected generalized backward doubly SDEs driven by L\'evy processes and Applications},
author = {Auguste Aman},
journal= {arXiv preprint arXiv:0907.2037},
year = {2009}
}