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Backward doubly stochastic differential equation driven by Lévy process: a Comparison theorem

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Abstract

In this work we deal with a Backward doubly stochastic differential equation associated to a Poisson random measure. We establish a comparison theorem and prove existence of a minimal solution under weaker conditions on the coefficients.

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Authors and Affiliations

  1. LERSTAD, UFR de Sciences Appliquées et de Technologie, Université Gaston Berger, BP 234, Saint-Louis, Senegal

    Ibrahima Faye & Ahmadou Bamba Sow

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  1. Ibrahima Faye
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  2. Ahmadou Bamba Sow
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Correspondence to Ahmadou Bamba Sow.

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Faye, I., Sow, A.B. Backward doubly stochastic differential equation driven by Lévy process: a Comparison theorem. Afr. Mat. 25, 869–880 (2014). https://doi.org/10.1007/s13370-013-0156-4

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  • DOI: https://doi.org/10.1007/s13370-013-0156-4

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