A Class of Backward Doubly Stochastic Differential Equations with Discontinuous Coefficients
Probability
2010-05-17 v1
Abstract
In this work the existence of solutions of one-dimensional backward dou- bly stochastic differential equations (BDSDEs in short) where the coefficient is left-Lipschitz in y (may be discontinuous) and Lipschitz in z is studied. Also, the associated comparison theorem is obtained.
Keywords
Cite
@article{arxiv.1005.2500,
title = {A Class of Backward Doubly Stochastic Differential Equations with Discontinuous Coefficients},
author = {Qingfeng Zhu and Yufeng Shi},
journal= {arXiv preprint arXiv:1005.2500},
year = {2010}
}
Comments
15 pages