Backward doubly stochastic differential equation driven by Lévy process: a Comparison theorem

In this work we deal with a Backward doubly stochastic differential equation associated to a Poisson random measure. We establish a comparison theorem and prove existence of a minimal solution under weaker conditions on the coefficients.

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Bibliographische Detailangaben
Veröffentlicht in:	Afrika mathematica 2014-12, Vol.25 (4), p.869-880
Hauptverfasser:	Faye, Ibrahima, Sow, Ahmadou Bamba
Format:	Artikel
Sprache:	eng
Schlagworte:	Applications of Mathematics History of Mathematical Sciences Mathematics Mathematics and Statistics Mathematics Education
Online-Zugang:	Volltext
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Beschreibung
Zusammenfassung:	In this work we deal with a Backward doubly stochastic differential equation associated to a Poisson random measure. We establish a comparison theorem and prove existence of a minimal solution under weaker conditions on the coefficients.
ISSN:	1012-9405 2190-7668
DOI:	10.1007/s13370-013-0156-4