文献类型：期刊文献

英文题名：Stochastic PDIEs and backward doubly stochastic differential equations driven by Levy processes

作者：Ren, Yong[1];Lin, Aihong[2];Hu, Lanying[1]

机构：[1]Anhui Normal Univ, Dept Math, Wuhan 241000, Peoples R China;[2]E China Univ Sci & Technol, Dept Math, Shanghai 200237, Peoples R China

年份：2009

卷号：223

期号：2

起止页码：901

外文期刊名：JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS

收录：;WOS:【SCI-EXPANDED(收录号:WOS:000261898900031)】；

基金：The work was supported by the National Natural Science Foundation of China (no. 10726075) and the Key Science and Technology Project of Ministry of Education (China no. 207047).

语种：英文

外文关键词：Backward doubly stochastic differential equation; Stochastic partial differential integral equation; Levy process; Teugels martingale

摘要：In this paper, a new class of backward doubly stochastic differential equations driven by Teugels martingales associated with a Levy process satisfying some moment condition and an independent Brownian motion is investigated. We obtain the existence and uniqueness of solutions to these equations. A probabilistic interpretation for solutions to a class of stochastic partial differential integral equations is given. (C) 2008 Elsevier B.V. All rights reserved.