Reflected Generalized Backward Doubly SDEs Driven by Lévy Processes and Applications |
| |
Authors: | Auguste Aman |
| |
Institution: | 1. U.F.R Maths and informatique, Universit?? de Cocody, 582, Abidjan 22, C?te d??Ivoire
|
| |
Abstract: | In this paper, we study reflected generalized backward doubly stochastic differential equations driven by Teugels martingales associated with Lévy process (RGBDSDELs in short) with one continuous barrier. Under uniformly Lipschitz coefficients, we prove an existence and uniqueness result by means of the penalization method and the fixed-point theorem. As an application, this study allows us to give a probabilistic representation for the solutions to a class of reflected stochastic partial differential integral equations (SPDIEs in short) with a nonlinear Neumann boundary condition. |
| |
Keywords: | |
本文献已被 SpringerLink 等数据库收录! |
|