Backward Stochastic Differential Equations Associated with Lévy Processes and Partial Integro-differential Equations
نویسندگان
چکیده
In this paper, we deal with a class of backward stochastic differential equations driven by Teugels martingales associated with a Lévy process (BSDELs). The comparison theorem is obtained. It is also shown that the solution of BSDE provides a viscosity solution of the associated system with partial integro-differential equations.
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