Reflected backward doubly stochastic differential equations with time delayed generators
Probability
2017-03-31 v1
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 can depend on the values of a solution in the past. Under a Lipschitz condition, we ensure the existence and uniqueness of the solution.
Keywords
Cite
@article{arxiv.1703.10532,
title = {Reflected backward doubly stochastic differential equations with time delayed generators},
author = {Badreddine Mansouri and Imen Salhi and Lazhar Tamer},
journal= {arXiv preprint arXiv:1703.10532},
year = {2017}
}