Multivalued stochastic partial differential-integral equations via backward doubly stochastic differential equations driven by a Lévy process

2010/11/12 by Yon Ren, Ren, Yon, Auguste Aman +1
Economics, Econometrics and Finance · Mathematics · #60H10 #60H30 #FOS: Mathematics #Nonlinear Differential Equations Analysis #Probability (math.PR) #Stochastic processes and financial applications #Stochastic processes and statistical mechanics #math.PR #msc:60H10 #msc:60H30

paper · pdf · doi:10.48550/arxiv.1011.3060

This version has been greatly improved and submitted for publication

openalex publication_date 2010/11/12 · arxiv created 2011/08/03 · arxiv updated 2011/08/04 · openalex created_date 2019/06/27 · openalex updated_date 2026/07/28

Abstract

In this paper, we deal with a class of backward doubly stochastic differential equations (BDSDEs, in short) involving subdifferential operator of a convex function and driven by Teugels martingales associated with a Lévy process. We show the existence and uniqueness result by means of Yosida approximation. As an application, we give the existence of stochastic viscosity solution for a class of multivalued stochastic partial differential-integral equations (MSPIDEs, in short).

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