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Generalized backward doubly stochastic differential equations driven by Lévy processes with continuous coefficients

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Abstract

A new class of generalized backward doubly stochastic differential equations (GBDSDEs in short) driven by Teugels martingales associated with Lévy process are investigated. We establish a comparison theorem which allows us to derive an existence result of solutions under continuous and linear growth conditions.

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Authors and Affiliations

  1. UFR de Mathématiques et Informatique, Université de Cocody, 22 BP, 582, Abidjan, Côte d’Ivoire

    Auguste Aman & Jean Marc Owo

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  1. Auguste Aman
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  2. Jean Marc Owo
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Correspondence to Auguste Aman.

Additional information

The first author is supported by TWAS Research Grants to individuals (No. 09-100 RG/MATHS/AF/AC-I-UNESCO FR: 3240230311)

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Aman, A., Owo, J.M. Generalized backward doubly stochastic differential equations driven by Lévy processes with continuous coefficients. Acta. Math. Sin.-English Ser. 28, 2011–2020 (2012). https://doi.org/10.1007/s10114-012-0506-4

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  • DOI: https://doi.org/10.1007/s10114-012-0506-4

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