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Licensed Unlicensed Requires Authentication Published by De Gruyter August 25, 2015

Anticipated BDSDEs driven by Lévy process with non-Lipschitz coefficients

  • Sadibou Aidara and Ahmadou Bamba Sow EMAIL logo


In this work we deal with a anticipated backward doubly stochastic differential equation associated to a random Poisson measure. We establish existence and uniqueness of solution in the case of non-Lipschitz coefficients. The novelty of our result lies in the fact that we allow the time interval to be infinite.

MSC: 60H05; 60G44

Funding source: African Center of Excellence

Award Identifier / Grant number: CEA-MITIC

Funding source: Faculty of Applied Sciences and Technology at Université Gaston Berger de Saint-Louis

Award Identifier / Grant number: World Bank program

Received: 2015-4-29
Accepted: 2015-7-3
Published Online: 2015-8-25
Published in Print: 2015-9-1

© 2015 by De Gruyter

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