Comparison theorems for anticipated backward doubly stochastic differential equations with non-Lipschitz coefficients

DOI10.1515/ROSE-2020-2026MaRDI QIDQ1986111zbMATH OpenOpenAlexFDO

Authors Sadibou Aidara

Publication date 7 April 2020

Published in Random Operators and Stochastic Equations (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/rose-2020-2026

zbMATH Keywords

anticipated backward doubly stochastic differential equationGronwall lemmaItô's representation formula

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integral equations (60H20)

Cites work

• Adapted solution of a backward stochastic differential equation
• Adapted solutions of backward stochastic differential equations with non- Lipschitz coefficients
• Anticipated backward doubly stochastic differential equations with non-Lipschitz coefficients
• Anticipated backward stochastic differential equations
• Backward doubly stochastic differential equations and systems of quasilinear SPDEs
• Backward doubly stochastic differential equations with non-Lipschitz coefficients
• Backward stochastic differential equations with non-Lipschitz coefficients
• Comparison theorems for anticipated BSDEs with non-Lipschitz coefficients
• Weak solutions for SPDE's and backward doubly stochastic differential equations

Cited in

(3)

• The adapted solutions and comparison theorem for anticipated backward stochastic differential equations with Poisson jumps under the weak conditions
• scientific article; zbMATH DE number 7083741 (Why is no real title available?)
• Stochastic maximum principle for mean-field delayed backward doubly stochastic differential equations

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