Generalized backward doubly stochastic differential equations driven by Lévy processes with continuous coefficients

Details Generalized backward doubly stochastic differential equations driven by Lévy processes with continuous coefficients Generalized backward doubly stochastic differential equations driven by Lévy processes with continuous coefficients

2010-11-14

arxiv.org/abs/1011.3218v2

Mathematics

Probability

The version has been greatly improved and is accepted for publication in Acta Mathematica Sinica

Scientific paper

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.

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