Reflected solutions of generalized anticipated backward double stochastic differential equations

DOI10.1515/ROSE-2017-0005MaRDI QIDQ515477zbMATH OpenOpenAlexFDO

Authors Zhi Li, Jiaowa Luo, Liping Xu

Publication date 16 March 2017

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

Full work available at URL https://doi.org/10.1515/rose-2017-0005

zbMATH Keywords

comparison theoremanticipated backward doubly stochastic differential equationsreflected solution

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integral equations (60H20)

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Cites work

• An approximation result for nonlinear SPDEs with Neumann boundary conditions
• Anticipated backward doubly stochastic differential equations
• Anticipated backward stochastic differential equations
• Backward doubly stochastic differential equations and systems of quasilinear SPDEs
• Comparison Theorems of Backward Doubly Stochastic Differential Equations and Applications
• Converse comparison theorems for backward doubly stochastic differential equations
• Maximum principle for backward doubly stochastic control systems with applications
• Multivalued stochastic partial differential-integral equations via backward doubly stochastic differential equations driven by a Lévy process
• Obstacle problem for SPDE with nonlinear Neumann boundary condition via reflected generalized backward doubly SDEs
• One barrier reflected backward doubly stochastic differential equations with continuous generator
• One barrier reflected backward doubly stochastic differential equations with discontinuous monotone coefficients
• Reflected backward doubly stochastic differential equations driven by a Lévy process
• Reflected backward doubly stochastic differential equations with discontinuous coefficients
• Reflected backward doubly stochastic differential equations with discontinuous generator
• Reflected generalized backward doubly SDEs driven by Lévy processes and applications
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• Reflected solutions of generalized anticipated BSDEs and application to reflected BSDEs with functional barrier
• The obstacle problem for quasilinear stochastic PDE's
• The obstacle problem for quasilinear stochastic PDEs: analytical approach

Cited in

(4)

• Anticipated backward doubly stochastic differential equations
• Some properties of generalized anticipated backward stochastic differential equations
• Anticipated backward stochastic differential equations
• Anticipated backward stochastic variational inequalities with generalized reflection

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