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Reflected backward doubly stochastic differential equations with discontinuous generator
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and
Published/Copyright:
August 1, 2012
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.
Keywords: Reflected backward doubly stochastic differential equation; discontinuous generator; comparison theorem
Received: 2010-08-18
Accepted: 2012-04-25
Published Online: 2012-08-01
Published in Print: 2012-08-01
© 2012 by Walter de Gruyter Berlin Boston
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- On a method for an effective calculation of optimal estimates in problems of filtration of random processes for certain nonlinear evolution differential equations in Hilbert space. Part II
- Reflected backward doubly stochastic differential equations with discontinuous generator
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Keywords for this article
Reflected backward doubly stochastic differential equation;
discontinuous generator;
comparison theorem
Articles in the same Issue
- Masthead
- On a method for an effective calculation of optimal estimates in problems of filtration of random processes for certain nonlinear evolution differential equations in Hilbert space. Part II
- Reflected backward doubly stochastic differential equations with discontinuous generator
- Evolution in multidimensional spaces
- The Circular Law. Thirty years later
- Canonical equation for normalized spectral functions of a pencil of random nonsymmetric matrices
