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Sagna, Yaya; Sow, Ahmadou Bamba

Discontinuous backward doubly stochastic differential equations with Poisson jumps. (English) Zbl 1367.60074

Afr. Mat. 28, No. 1-2, 151-163 (2017).
Summary: This paper is devoted to solving a real valued backward doubly stochastic differential equation with jumps where the time horizon may be finite or infinite. Coupling a linear growth condition and left continuity on the generator, we prove existence of a minimal solution.

MSC:

60H10 Stochastic ordinary differential equations (aspects of stochastic analysis)
60H05 Stochastic integrals
60G44 Martingales with continuous parameter

Keywords:

backward doubly stochastic differential equation; random Poisson measure; minimal solution
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References:

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