On solutions to backward stochastic partial differential equations for Levy processes

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS

卷:235

Article

Zhou, Qing¹  Ren, Yong²  Wu, Weixing^3,4 

[1] Beijing Univ Posts & Telecommun, Sch Sci, Beijing 100876, Peoples R China

[2] Anhui Normal Univ, Dept Math, Wuhu 241000, Peoples R China

[3] Univ Int Business & Econ, Res Ctr Appl Finance, Beijing 100029, Peoples R China

[4] Univ Int Business & Econ, Sch Finance & Banking, Beijing 100029, Peoples R China

关键词: Backward stochastic partial differential equation;    Levy process;    Teugels martingale;   

DOI  :  10.1016/j.cam.2011.06.002

来源: Elsevier

【 摘 要 】

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 Levy process satisfying some moment conditions and by an independent Brownian motion. An example is given to illustrate the theory. (C) 2011 Elsevier B.V. All rights reserved.

【 授权许可】

Free