Stochastic PDIEs with nonlinear Neumann boundary conditions and generalized backward doubly stochastic differential equations driven by Lévy processes
In this paper, a new class of generalized backward doubly stochastic differential equations (GBDSDEs in short) driven by Teugels martingales associated with Lévy process and the integral with respect to an adapted continuous increasing process is investigated. We obtain the existence and uniqueness...
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| Veröffentlicht in: | Journal of computational and applied mathematics 2009-07, Vol.229 (1), p.230-239 |
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| creator | Hu, Lanying Ren, Yong |
| description | In this paper, a new class of generalized backward doubly stochastic differential equations (GBDSDEs in short) driven by Teugels martingales associated with Lévy 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 stochastic partial differential integral equations (PDIEs in short) with a nonlinear Neumann boundary condition is given. |
| doi_str_mv | 10.1016/j.cam.2008.10.027 |
| format | Article |
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Scientific computation</subject><subject>Numerical methods in probability and statistics</subject><subject>Ordinary differential equations</subject><subject>Partial differential equations, boundary value problems</subject><subject>Partial differential equations, initial value problems and time-dependant initial-boundary value problems</subject><subject>Sciences and techniques of general use</subject><subject>Stochastic partial differential integral equation</subject><subject>Teugels martingale</subject><issn>0377-0427</issn><issn>1879-1778</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2009</creationdate><recordtype>article</recordtype><recordid>eNp9kU1uFDEQRi1EJIaEA7DzBlj1YLvdPxYrlAQSaZQgAWur2i4TDz12YndPNFyEM3AOLhaPJoJdViVbr15J30fIa86WnPH2_XppYLMUjPXlvWSie0YWvO9Uxbuuf04WrO66iknRvSAvc14zxlrF5YL8_jpFcwN58oZ-Obs8z_TeTzc0xDD6gJDoFc4bCIEOcQ4W0o6aGKyffAyZQrD0BwZMMPpfaOkA5uc9JEttnIdxR_N_t_XOYcIweRgp3s1wMNjkt1jkO7r6-2e7o7cpGswZ8wk5cjBmfPU4j8n3T-ffTi-q1fXny9OPq8rIup4qo5RTjeJMOOAghKuFkKxXYIfBdc3QgyzTibo1HIWTKJpWiYE3HNRgpaiPybuDt1y-mzFPeuOzwXGEgHHOWrG6bUqqdSHfPknWUnaNaJsC8gNoUsw5odO3yW9KdJozvS9Lr3UpS-_L2n-VssrOm0c5ZAOjSxCMz_8WBW-k7Nme-3DgsGSy9Zh0Nh6DQesTmknb6J-48gA0qq4E</recordid><startdate>20090701</startdate><enddate>20090701</enddate><creator>Hu, Lanying</creator><creator>Ren, Yong</creator><general>Elsevier B.V</general><general>Elsevier</general><scope>6I.</scope><scope>AAFTH</scope><scope>IQODW</scope><scope>AAYXX</scope><scope>CITATION</scope><scope>7SC</scope><scope>7TB</scope><scope>8FD</scope><scope>FR3</scope><scope>JQ2</scope><scope>KR7</scope><scope>L7M</scope><scope>L~C</scope><scope>L~D</scope></search><sort><creationdate>20090701</creationdate><title>Stochastic PDIEs with nonlinear Neumann boundary conditions and generalized backward doubly stochastic differential equations driven by Lévy processes</title><author>Hu, Lanying ; Ren, Yong</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c433t-c99f959102fa1a22f3224089adbbf75b8a4bf7f236c1e2f4e25692b151a9bd423</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2009</creationdate><topic>Backward doubly stochastic differential equation</topic><topic>Exact sciences and technology</topic><topic>Lévy process</topic><topic>Mathematical analysis</topic><topic>Mathematics</topic><topic>Neumann boundary condition</topic><topic>Numerical analysis</topic><topic>Numerical analysis. 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| fulltext | fulltext |
| identifier | ISSN: 0377-0427 |
| ispartof | Journal of computational and applied mathematics, 2009-07, Vol.229 (1), p.230-239 |
| issn | 0377-0427 1879-1778 |
| language | eng |
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| source | Elsevier ScienceDirect Journals; Elektronische Zeitschriftenbibliothek - Frei zugängliche E-Journals |
| subjects | Backward doubly stochastic differential equation Exact sciences and technology Lévy process Mathematical analysis Mathematics Neumann boundary condition Numerical analysis Numerical analysis. Scientific computation Numerical methods in probability and statistics Ordinary differential equations Partial differential equations, boundary value problems Partial differential equations, initial value problems and time-dependant initial-boundary value problems Sciences and techniques of general use Stochastic partial differential integral equation Teugels martingale |
| title | Stochastic PDIEs with nonlinear Neumann boundary conditions and generalized backward doubly stochastic differential equations driven by Lévy processes |
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