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Stochastic PDIEs with nonlinear Neumann boundary conditions and generalized backward doubly stochastic differential equations driven by Levy processes
journal contribution
posted on 2023-05-16, 23:56 authored by Hu, L, Ren, YongIn this paper, a new class of generalized backward doubly stochastic differential equations (GBDSDEs in short) driven by Teugels martingales associated with Levy 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.
History
Publication title
Journal of Computational and Applied MathematicsVolume
229Pagination
230-239ISSN
0377-0427Department/School
School of Natural SciencesPublisher
Elsevier Science BVPlace of publication
Amsterdam, NetherlandsRights statement
The definitive version is available at http://www.sciencedirect.com © 2008 Published by Elsevier B.V.Repository Status
- Restricted