A comparison theorem and uniqueness theorem of backward doubly stochastic differential equations (Q2431046): Difference between revisions
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English | A comparison theorem and uniqueness theorem of backward doubly stochastic differential equations |
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A comparison theorem and uniqueness theorem of backward doubly stochastic differential equations (English)
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8 April 2011
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In this paper, backward doubly stochastic differential equations of the type \[ Y_t=\xi+\int_0^T f(s,Y_s,Z_s)\,ds+\int_0^T g(s,Y_s,Z_s)\,dB_s-\int_0^T Z_s\,dWs \] are considered. \((Y_t)_{t\in[0,T]}\) is a scalar and \((Z_t)_{t\in[0,T]}\) a vector-valued process and the stochastic integral with respect to the independent vector-valued Wiener processes \((B_t)_{t\in[0,T]}\) and \((W_t)_{t\in[0,T]}\) are backward and forward Itô integrals, respectively. Under the assumptions of Lipschitz continuous coefficients \(f,g\), the authors prove comparison theorems for solutions of the equation and, for uniformly continuous coefficients, uniqueness of the solution is obtained.
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backward doubly stochastic differential equation
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comparison theorem
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uniqueness theorem
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