Work

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

Year: 2010

Type: preprint

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).

Source: arXiv (Cornell University)

DOI: 10.48550/arxiv.1011.3060

Authors: Ren, Yon, Aman, Auguste

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2953240992

Cites: 13

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Related to: 10