• Corpus ID: 8838557

A New Class of Backward Stochastic Partial Differential Equations with Jumps and Applications

  title={A New Class of Backward Stochastic Partial Differential Equations with Jumps and Applications},
  author={Wanyang Dai},
  • W. Dai
  • Published 4 May 2011
  • Mathematics
  • ArXiv
We formulate a new class of stochastic partial differential equations (SPDEs), named high-order vector backward SPDEs (B-SPDEs) with jumps, which allow the high-order integral-partial differential operators into both drift and diffusion coefficients. Under certain type of Lipschitz and linear growth conditions, we develop a method to prove the existence and uniqueness of adapted solution to these B-SPDEs with jumps. Comparing with the existing discussions on conventional backward stochastic… 

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