Reflected backward doubly stochastic differential equations with discontinuous generator
Probability
2010-11-16 v1
Abstract
In this note, we study one-dimensional reflected backward doubly stochastic differential equations (RBDSDEs) with one continuous barrier and discontinuous generator (left-or right-continuous). By a comparison theorem establish here for RBDSDEs, we provide a minimal or a maximal solution to RBDSDEs
Keywords
Cite
@article{arxiv.1011.3221,
title = {Reflected backward doubly stochastic differential equations with discontinuous generator},
author = {Auguste Aman and Jean Marc Owo},
journal= {arXiv preprint arXiv:1011.3221},
year = {2010}
}
Comments
11 pages