Reflected generalized BDSDEs driven by non-homogeneous L\'evy processes and obstacle problems for stochastic integro-PDEs with nonlinear Neumann boundary conditions
Probability
2026-02-25 v3
Abstract
We consider reflected generalized backward doubly stochastic differential equations driven by a non-homogeneous L\'evy process. Under stochastic conditions on the coefficients, we prove the existence and uniqueness of a solution. Furthermore, we apply these results to obtain a probabilistic representation for the viscosity solutions of an obstacle problem governed by stochastic integro-partial differential equations with a nonlinear Neumann boundary condition.
Keywords
Cite
@article{arxiv.2509.25912,
title = {Reflected generalized BDSDEs driven by non-homogeneous L\'evy processes and obstacle problems for stochastic integro-PDEs with nonlinear Neumann boundary conditions},
author = {Badr Elmansouri and Mohammed Elhachemy and Mohamed Marzougue and Mohamed El Jamali},
journal= {arXiv preprint arXiv:2509.25912},
year = {2026}
}
Comments
arXiv admin note: text overlap with arXiv:0708.4138 by other authors