Backward doubly stochastic differential equations with non-Lipschitz coefficients

DOI10.1515/ROSE.2008.018zbMath1199.60058MaRDI QIDQ5324869

Modeste N'zi, Jean-Marc Owo

Publication date: 8 August 2009

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

Full work available at URL: https://doi.org/10.1515/rose.2008.018

zbMATH Keywords

non-Lipschitz coefficients; Backward doubly stochastic differential equations

Mathematics Subject Classification ID

60G15: Gaussian processes

60F05: Central limit and other weak theorems

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

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Reflected backward doubly stochastic differential equations with discontinuous barrier, Lp - estimates of solutions of backward doubly stochastic differential equations, Backward doubly stochastic differential equations with discontinuous and stochastic linear growth generator, RBDSDEs with jumps and optional Barrier and mean field game with common noise, On optimal control problem for backward stochastic doubly systems, On a class of backward doubly stochastic differential equations, Stochastic viscosity solutions for SPDEs with continuous coefficients, Near-relaxed control problem of fully coupled forward-backward doubly system, Backward doubly SDEs with continuous and stochastic linear growth coefficients, Backward doubly stochastic differential equations with stochastic Lipschitz condition, A general maximum principle for mean-field forward-backward doubly stochastic differential equations with jumps processes, Necessary condition for optimality of forward-backward doubly system

Cites Work

• Adapted solution of a backward stochastic differential equation
• Backward doubly stochastic differential equations and systems of quasilinear SPDEs
• Backward Stochastic Differential Equations in Finance