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WROCŁAW UNIVERSITY
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Contents of PMS, Vol. 30, Fasc. 2,
pages 259 - 272
 

GENERALIZED BACKWARD DOUBLY STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY LÉVY PROCESSES WITH NON-LIPSCHITZ COEFFICIENTS

Auguste Aman
Jean-Marc Owo

Abstract: We prove an existence and uniqueness result for generalized backward doubly stochastic differential equations driven by Lévy processes with non-Lipschitz assumptions.

2000 AMS Mathematics Subject Classification: Primary: 60F05, 60H15; Secondary: 60J30

Keywords and phrases: Backward doubly stochastic differential equations, Lévy processes, non-Lipschitz coefficients, Teugel martingale.

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