Comparison Theorems of Backward Doubly Stochastic Differential Equations and Applications (Q4678748)
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scientific article; zbMATH DE number 2171200
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| English | Comparison Theorems of Backward Doubly Stochastic Differential Equations and Applications |
scientific article; zbMATH DE number 2171200 |
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Comparison Theorems of Backward Doubly Stochastic Differential Equations and Applications (English)
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23 May 2005
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existence and uniqueness
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backward stochastic integral
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continuous coefficients
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Lipschitz assumptions
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minimal solution
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0.9380369186401368
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0.9194098711013794
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0.9026640057563782
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0.8884683847427368
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The authors obtain a comparison theorem for a class of backward doubly stochastic differential equations (BDSDEs for short). As one of its applications, the existence of solutions for BDSDEs with continuous coefficients is derived. For one-dimensional BDSDEs, the authors weaken the usual Lipschitz assumptions to linear growth conditions by virtue of the comparison theorem. The existence of the minimal solution of BDSDEs is shown.
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