A comparison theorem and uniqueness theorem of backward doubly stochastic differential equations (Q2431046): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
Property / full work available at URL | |||
Property / full work available at URL: https://doi.org/10.1007/s10255-011-0057-y / rank | |||
Normal rank | |||
Property / OpenAlex ID | |||
Property / OpenAlex ID: W1975428810 / rank | |||
Normal rank |
Revision as of 20:32, 19 March 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | A comparison theorem and uniqueness theorem of backward doubly stochastic differential equations |
scientific article |
Statements
A comparison theorem and uniqueness theorem of backward doubly stochastic differential equations (English)
0 references
8 April 2011
0 references
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.
0 references
backward doubly stochastic differential equation
0 references
comparison theorem
0 references
uniqueness theorem
0 references