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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 |
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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: | 21 |
Deposited By: | Mathematics |
Deposited On: | 2009-07-29 |
Last Modified: | 2012-11-05 |
Downloads: | 1 View Download Statistics |
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