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

2010/11/14 by Auguste Aman, Aman, Auguste, Jean Marc Owo +2
Economics, Econometrics and Finance · Mathematics · Social Sciences · #60F05 #60H15 #60J30 #Economic theories and models #FOS: Mathematics #Financial Risk and Volatility Modeling #Insurance, Mortality, Demography, Risk Management #Nonlinear Differential Equations Analysis #Probability (math.PR) #Stochastic processes and financial applications #math.PR #msc:60F05 #msc:60H15 #msc:60J30

paper · pdf · doi:10.48550/arxiv.1011.3218

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

openalex publication_date 2010/11/14 · arxiv created 2011/08/03 · arxiv updated 2011/08/04 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

A new class of generalized backward doubly stochastic differential equations (GBDSDEs in short) driven by Teugels martingales associated with Lévy 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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