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Stochastic PDIEs with nonlinear Neumann boundary conditions and generalized backward doubly stochastic differential equations driven by Levy processes

Citation

Hu, L and Ren, Yong, Stochastic PDIEs with nonlinear Neumann boundary conditions and generalized backward doubly stochastic differential equations driven by Levy processes, Journal of Computational and Applied Mathematics, 229, (1) pp. 230-239. ISSN 0377-0427 (2009) [Refereed Article]


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Copyright Statement

The definitive version is available at http://www.sciencedirect.com © 2008 Published by Elsevier B.V.

Official URL: http://www.sciencedirect.com

DOI: doi:10.1016/j.cam.2008.10.027

Abstract

In 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.

Item Details

Item Type:Refereed Article
Keywords:backward doubly stochastic differential equation, stochastic partial differential integral equation, Levy process, teugels martingale, Neumann boundary condition
Research Division:Mathematical Sciences
Research Group:Pure Mathematics
Research Field:Partial Differential Equations
Objective Division:Expanding Knowledge
Objective Group:Expanding Knowledge
Objective Field:Expanding Knowledge in the Mathematical Sciences
UTAS Author:Ren, Yong (Dr Yong Ren)
ID Code:57603
Year Published:2009
Web of Science® Times Cited:15
Deposited By:Mathematics
Deposited On:2009-07-29
Last Modified:2012-11-05
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