Articlegreen2012

Reflected backward doubly stochastic differential equations with discontinuous generator

17 citations0/0 files storedRandom Operators and Stochastic Equations

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Stochastic processes and financial applications Nonlinear Differential Equations Analysis Fuzzy Systems and Optimization

Abstract

Abstract. In this note, we study one-dimensional reflected backward doubly stochastic differential equations (RBDSDEs) with one continuous barrier and discontinuous generator (left-or right-continuous). By a comparison theorem established here for RBDSDEs, we provide a minimal or a maximal solution to RBDSDEs.

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References

1997Backward stochastic differential equations with continuous coefficient 1994Backward doubly stochastic differential equations and systems of quasilinear SPDEs 2005Comparison Theorems of Backward Doubly Stochastic Differential Equations and Applications 2008Backward doubly stochastic differential equations with discontinuous coefficients

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