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Generalized backward doubly stochastic differential equations driven by Lévy processes with continuous coefficients (1011.3218v2)
Published 14 Nov 2010 in math.PR
Abstract: A new class of generalized backward doubly stochastic differential equations (GBDSDEs in short) driven by Teugels martingales associated with L\'evy process are investigated. We establish a comparison theorem which allows us to derive an existence result of solutions under continuous and linear growth conditions.
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