Reflected generalized backward doubly SDEs driven by Lévy processes and Applications

Details Reflected generalized backward doubly SDEs driven by Lévy processes and Applications Reflected generalized backward doubly SDEs driven by Lévy processes and Applications

2009-07-12

arxiv.org/abs/0907.2037v1

Mathematics

Probability

Scientific paper

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.

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