Reflected Solutions of Backward Doubly Stochastic Differential Equations
Probability
2009-06-08 v2
Abstract
We study reflected solutions of one-dimensional backward doubly stochastic differential equations (BDSDEs in short). The "reflected" keeps the solution above a given stochastic process. We get the uniqueness and existence by penalization. For the existence of backward stochastic integral, our proof is different from [KKPPQ] slightly. We also obtain a comparison theorem for reflected BDSDEs.
Keywords
Cite
@article{arxiv.0806.0917,
title = {Reflected Solutions of Backward Doubly Stochastic Differential Equations},
author = {Weiqiang Yang and Yufeng Shi and Yangling Gu},
journal= {arXiv preprint arXiv:0806.0917},
year = {2009}
}
Comments
18 pages