Backward Doubly Stochastic Differential Equations with Jumps and Stochastic Partial Differential-Integral Equations

被引：0

作者：

Qingfeng ZHU1 Yufeng SHI2 1School of Mathematics

School of Statistics and Mathematics

机构：

来源：

ChineseAnnalsofMathematics(SeriesB) | 2012年 / 33卷 / 01期

基金：

中国国家自然科学基金;

关键词：

Backward doubly stochastic differential equations; Stochastic partial differential-integral equations; Random measure; Poisson process;

D O I：

暂无

中图分类号：

O211.63 [随机微分方程];

学科分类号：

摘要：

Backward doubly stochastic differential equations driven by Brownian motions and Poisson process(BDSDEP) with non-Lipschitz coeffcients on random time interval are studied.The probabilistic interpretation for the solutions to a class of quasilinear stochastic partial differential-integral equations(SPDIEs) is treated with BDSDEP.Under non-Lipschitz conditions,the existence and uniqueness results for measurable solutions to BDSDEP are established via the smoothing technique.Then,the continuous dependence for solutions to BDSDEP is derived.Finally,the probabilistic interpretation for the solutions to a class of quasilinear SPDIEs is given.

引用

页码：127 / 142

页数：16

共 50 条

[11] Anticipated backward doubly stochastic differential equations
Xu, Xiaoming
APPLIED MATHEMATICS AND COMPUTATION, 2013, 220 : 53 - 62
[12] Reflected backward stochastic partial differential equations with jumps in a convex domain
Yang, Xue
STATISTICS & PROBABILITY LETTERS, 2019, 152 : 126 - 136
[13] Backward doubly stochastic differential equations with stochastic Lipschitz condition
Owo, Jean-Marc
STATISTICS & PROBABILITY LETTERS, 2015, 96 : 75 - 84
[14] Backward stochastic differential equations and backward stochastic Volterra integral equations with anticipating generators
Hanxiao Wang
Jiongmin Yong
Chao Zhou
Probability,Uncertainty and Quantitative Risk, 2022, (04) : 301 - 332
[15] Backward stochastic differential equations and backward stochastic Volterra integral equations with anticipating generators
Wang, Hanxiao
Yong, Jiongmin
Zhou, Chao
PROBABILITY UNCERTAINTY AND QUANTITATIVE RISK, 2022, 7 (04) : 301 - 332
[16] Reflected stochastic partial differential equations with jumps
Qian, Hongchao
Peng, Jun
STOCHASTICS AND DYNAMICS, 2022, 22 (01)
[17] Stationary backward stochastic differential equations and associated partial differential equations
Buckdahn, R
Peng, S
PROBABILITY THEORY AND RELATED FIELDS, 1999, 115 (03) : 383 - 399
[18] Backward stochastic differential equations and partial differential equations with quadratic growth
Kobylanski, M
ANNALS OF PROBABILITY, 2000, 28 (02): : 558 - 602
[19] On solutions of backward stochastic differential equations with jumps and applications
Rong, ST
STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 1997, 66 (02) : 209 - 236
[20] Stationary backward stochastic differential equations and associated partial differential equations
Rainer Buckdahn
Shige Peng
Probability Theory and Related Fields, 1999, 115 : 383 - 399

← 1 2 3 4 5 →