Multivalued stochastic partial differential-integral equations via backward doubly stochastic differential equations driven by a Lévy process

Abstract

In this paper, we deal with a class of backward doubly stochastic differential equations (BDSDEs, in short) involving subdifferential operator of a convex function and driven by Teugels martingales associated with a Lévy process. We show the existence and uniqueness result by means of Yosida approximation. As an application, we give the existence of stochastic viscosity solution for a class of multivalued stochastic partial differential-integral equations (MSPIDEs, in short).

This version has been greatly improved and submitted for publication

References in corpus (1)

• Stochastic viscosity solution for stochastic PDIEs with nonlinear Neumann boundary condition