A comparison theorem and uniqueness theorem of backward doubly stochastic differential equations (Q2431046)

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.