African Diaspora Journal of Mathematics

Finite and Infinite Time Interval of BDSDEs Driven by Lévy Processes

I. Faye and A. B. Sow

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Abstract

In this work we deal with a backward doubly stochastic differential equation (BDSDE) associated to a Poisson random measure. We establish existence and uniqueness of solution in the case of non-Lipschitz coefficients. The novelty of our result lies in the fact that we allow the time interval to be infinite.

Article information

Source
Afr. Diaspora J. Math. (N.S.), Volume 13, Number 2 (2012), 108-126.

Dates
First available in Project Euclid: 2 November 2012

Permanent link to this document
https://projecteuclid.org/euclid.adjm/1351864737

Mathematical Reviews number (MathSciNet)
MR3006757

Zentralblatt MATH identifier
06184582

Subjects
Primary: 60H05: Stochastic integrals
Secondary: 60G44: Martingales with continuous parameter

Keywords
Backward doubly stochastic differential equation Poisson random measure Itô's representation formula Gronwall lemma

Citation

Faye, I.; Sow, A. B. Finite and Infinite Time Interval of BDSDEs Driven by Lévy Processes. Afr. Diaspora J. Math. (N.S.) 13 (2012), no. 2, 108--126. https://projecteuclid.org/euclid.adjm/1351864737


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