Reflected backward doubly stochastic differential equations with discontinuous generator

2010/11/14 by Aman, Auguste, Owo, Jean Marc · 1 citation
#60H15 #60H20 #FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.1011.3221

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 establish here for RBDSDEs, we provide a minimal or a maximal solution to RBDSDEs

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• Backward doubly stochastic differential equations with or without reflection under weak conditions

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