Aman, Auguste et Owo, Jean Marc, Generalized backward doubly stochastic differential equations driven by Lévy processes with continuous coefficients, Acta mathematica Sinica. English series (Print) , 28(10), 2012, pp. 2011-2020
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.