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.