Reflected backward doubly stochastic differential equations with time delayed generators

DOI10.17654/DE018030177MaRDI QIDQ4639467zbMATH OpenFDO

Authors

Publication date 9 May 2018

Published in Advances in Differential Equations and Control Processes (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1703.10532

zbMATH Keywords

Lipschitz generatorreflected backward doubly stochastic differential equationstime delayed generator

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Abstract: We consider a class of reflected backward doubly stochastic differential equations with time delayed generator (in short RBDSDE with time delayed generator), in this case generator at time $t$ can depend on the values of a solution in the past. Under a Lipschitz condition, we ensure the existence and uniqueness of the solution.

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Cites work

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Cited in

(10)

• Reflected and doubly reflected backward stochastic differential equations with time-delayed generators
• Reflected backward stochastic differential equations with time-delayed generators
• L^p-solutions for reflected BSDEs with time delayed generators
• Multivalued backward stochastic differential equations with time delayed generators
• Reflected backward stochastic differential equations with time delayed generators
• Reflected solutions of generalized anticipated backward double stochastic differential equations
• FBDEs with time delayed generators: \(L^{p}\)-solutions, differentiability, representation formulas and path regularity
• Backward stochastic differential equations with non-Lipschitz time delayed generators
• L ^p -solutions of backward doubly stochastic differential equations with time delayed generators
• Backward stochastic differential equations with time delayed generators -- results and counterexamples

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