Backward doubly stochastic differential equations with weak assumptions on the coefficients

DOI10.1016/J.AMC.2011.04.016zbMATH Open1220.60035arXiv1005.5247OpenAlexW2036038170MaRDI QIDQ548009FDOQ548009

Qian Lin

Publication date: 27 June 2011

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Abstract: In this paper, we deal with one dimensional backward doubly stochastic differential equations (BDSDEs) where the coefficient is left Lipschitz in y (may be discontinuous) and uniformly continuous in z. We obtain a generalized comparison theorem and a generalized existence theorem of BDSDEs .

Full work available at URL: https://arxiv.org/abs/1005.5247

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zbMATH Keywords

comparison theoremexistence theorembackward double stochastic differential equations[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=backward+It%EF%BF%BD%EF%BF%BD%27s+integral&go=Go backward It��'s integral]

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05) Stochastic analysis (60H99)

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Cited In (9)

• L^p (1 < p < 2) solutions of backward doubly stochastic differential equations with locally monotone coefficients
• Backward doubly stochastic differential equations with discontinuous and stochastic linear growth generator
• One barrier reflected backward doubly stochastic differential equations with discontinuous monotone coefficients
• Discontinuous backward doubly stochastic differential equations with Poisson jumps
• Existence and uniqueness of solutions for BDSDEs with weak monotonicity coefficients
• \(L^{p}\) solutions of infinite time interval backward doubly stochastic differential equations under monotonicity and general increasing conditions
• Reflected backward doubly stochastic differential equations with discontinuous coefficients
• Existence of solution for mean-field reflected discontinuous backward doubly stochastic differential equation
• L ^p -solutions of backward doubly stochastic differential equations with time delayed generators

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