A class of backward doubly stochastic differential equations with non-Lipschitz coefficients

DOI10.1016/J.SPL.2009.07.019zbMATH Open1175.60062OpenAlexW2044664054MaRDI QIDQ734712FDOQ734712

Authors: Qian Lin 

Publication date: 13 October 2009

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2009.07.019

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Mathematics Subject Classification ID

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

Cites Work

• Backward doubly stochastic differential equations and systems of quasilinear SPDEs
• Stochastic Hamilton–Jacobi–Bellman Equations
• Backward Stochastic Differential Equations in Finance
• Adapted solution of a backward stochastic differential equation
• Weak solutions for SPDE's and backward doubly stochastic differential equations
• Quadratic BSDEs with convex generators and unbounded terminal conditions
• Backward stochastic differential equations with continuous coefficient
• Representation of solutions to BSDEs associated with a degenerate FSDE
• Comparison Theorems of Backward Doubly Stochastic Differential Equations and Applications
• Backward stochastic differential equations and applications to optimal control
• Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob-Meyer's type
• Stochastic PDEs driven by nonlinear noise and backward doubly SDEs
• Reflected BSDEs and mixed game problem
• Zero-sum stochastic differential games and backward equations
• Mean‐Variance Portfolio Selection under Partial Information
• On a SDE driven by a fractional Brownian motion and with monotone drift

Cited In (22)

• Title not available (Why is that?)
• On a class of backward doubly stochastic differential equations
• L^p (1 < p < 2) solutions of backward doubly stochastic differential equations with locally monotone coefficients
• The solutions of backward doubly stochastic differential equations with non-Lipschitz coefficients
• Backward doubly stochastic differential equations with non-Lipschitz coefficients
• Backward doubly stochastic differential equations driven by Levi process: the case of non-Lipschitz coefficients
• One barrier reflected backward doubly stochastic differential equations with discontinuous monotone coefficients
• Backward doubly stochastic differential equations with weak assumptions on the coefficients
• Generalized backward doubly stochastic differential equations driven by Lévy processes with non-Lipschitz coefficients
• Backward doubly stochastic differential equations with non-Lipschitz coefficients
• Backward doubly stochastic differential equations under non-Lipschitzian coefficient
• \(L^p\) solutions for multidimensional BDSDEs with locally weak monotonicity coefficients
• A class of backward doubly stochastic differential equations with discontinuous coefficients
• Multidimensional backward doubly stochastic differential equations with integral non-Lipschitz coefficients
• 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
• \(L^p\)-estimates of solutions of backward doubly stochastic differential equations
• A class of BDSDEs with uniformly continuous coefficients
• On a class of backward doubly stochastic differential equations with continuous coefficients
• Backward stochastic differential equations with non-Lipschitz coefficients
• L ^p -solutions of backward doubly stochastic differential equations with time delayed generators

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