Backward Doubly Stochastic Equations with Jumps and Comparison Theorems

Abstract

In this work we mainly prove the existence and pathwise uniqueness of solutions to general backward doubly stochastic differential equations with jumps appearing in both forward and backward integral parts. Several comparison theorems under some weak conditions are also given. Finally we apply comparison theorems in proving the existence of solution to some special backward doubly stochastic differential equations with drift coefficient increasing linearly.

25 pages

References in corpus (2)

• Super-Brownian motion as the unique strong solution to an SPDE
• Reflected Backward Stochastic Differential Equations Driven by Lévy Process