Generalized Backward Doubly Stochastic Differential Equations Driven by Lévy Processes with Discontinuous and Linear Growth Coefficients

Jean-Marc Owo () and Auguste Aman ()
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Jean-Marc Owo: Université Félix Houphouet-Boigny
Auguste Aman: Université Félix Houphouet-Boigny

Journal of Theoretical Probability, 2023, vol. 36, issue 4, 2311-2338

Abstract: Abstract This paper deals with generalized backward doubly stochastic differential equations driven by a Lévy process (GBDSDEL, in short). Under left or right continuous and linear growth conditions, we prove the existence of minimal (resp. maximal) solutions.

Keywords: Backward doubly stochastic differential equations; Lévy processes; Teugels martingales; Comparison theorem; Continuous and linear growth conditions; Primary: 60G51; 60H10; Secondary: 91G20; 60H30 (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1007/s10959-023-01270-9

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