On solutions to backward stochastic partial differential equations for Lévy processes |
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| Authors: | Qing Zhou Yong Ren |
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| Affiliation: | a School of Science, Beijing University of Posts and Telecommunications, Beijing 100876, Chinab Department of Mathematics, Anhui Normal University, Wuhu 241000, Chinac Research Center of Applied Finance and School of Finance and Banking, University of International Business and Economics, Beijing 100029, China |
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| Abstract: | In this paper, we prove the existence and uniqueness of the solution for a class of backward stochastic partial differential equations (BSPDEs, for short) driven by the Teugels martingales associated with a Lévy process satisfying some moment conditions and by an independent Brownian motion. An example is given to illustrate the theory. |
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| Keywords: | 60H15 60H30 60G51 |
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