Reflected backward doubly stochastic differential equations with discontinuous barrier

DOI10.1080/17442508.2019.1691207zbMath1490.60141OpenAlexW2987047358MaRDI QIDQ5086528

Mohamed El Fatini, Naoual Mrhardy, Roger Pettersson, Badr-eddine Berrhazi, Astrid Hilbert

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 equationsreflected backward doubly stochastic differential equationsMertens decompositionstrong optional supermartingale

Mathematics Subject Classification ID

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

Related Items (4)

Stability analysis of stochastic delay differential equations with Markovian switching driven by Lévy noise ⋮ RBDSDEs with jumps and optional Barrier and mean field game with common noise ⋮ Irregular barrier reflected BDSDEs with general jumps under stochastic Lipschitz and linear growth conditions ⋮ Two-barriers reflected backward doubly SDEs beyond right continuity

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