Reflected backward doubly stochastic differential equations with discontinuous barrier

DOI10.1080/17442508.2019.1691207MaRDI QIDQ5086528zbMATH OpenOpenAlexFDO

Authors Badr-eddine Berrhazi, M. El Fatini, Astrid Hilbert, Naoual Mrhardy, Roger Pettersson

Publication date 5 July 2022

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442508.2019.1691207

zbMATH Keywords

backward doubly stochastic differential equationsMertens decompositionreflected backward doubly stochastic differential equationsstrong optional supermartingale

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cited in

(18)

• One barrier reflected backward doubly stochastic differential equations with continuous generator
• Reflected backward doubly stochastic differential equations with discontinuous coefficients
• Two-barriers reflected backward doubly SDEs beyond right continuity
• Stability analysis of stochastic delay differential equations with Markovian switching driven by Lévy noise
• Irregular barrier reflected BDSDEs with general jumps under stochastic Lipschitz and linear growth conditions
• Mean-field reflected backward doubly stochastic DE with continuous coefficients
• Barrier reflected backward doubly stochastic differential equations with discontinuous generators
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• One barrier reflected backward doubly stochastic differential equations with discontinuous monotone coefficients
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• Reflected backward doubly stochastic differential equations with discontinuous generator
• Reflected discontinuous backward doubly stochastic differential equations with Poisson jumps
• Minimal solution of irregular barrier reflected BDSDEs with left confinuous and stochastic linear growth generators
• RBDSDEs with jumps and optional Barrier and mean field game with common noise
• Multi-dimensional backward stochastic differential equations with one reflecting lower barrier of Itô diffusion type
• Backward SDEs with two rcll reflecting barriers without Mokobodski's hypothesis
• Generalized reflected backward doubly SDEs with irregular barriers and continuous coefficients

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