Generalized backward doubly stochastic differential equations driven by Lévy processes with continuous coefficients

Abstract

A new class of generalized backward doubly stochastic differential equations (GBDSDEs in short) driven by Teugels martingales associated with Lévy process are investigated. We establish a comparison theorem which allows us to derive an existence result of solutions under continuous and linear growth conditions.

The version has been greatly improved and is accepted for publication in Acta Mathematica Sinica