English

Backward doubly stochastic differential equations with or without reflection under weak conditions

Probability 2026-03-17 v1

Abstract

In this paper, we study the well-posedness of backward doubly stochastic differential equations (BDSDEs), both with and without reflection, under weak conditions. First, when the generator ff is of general growth in yy and linear growth in zz, we establish the existence, uniqueness, comparison principle, and the existence of maximal solutions for BDSDEs, with or without reflection. Second, under the assumption that ff is of linear growth in yy and quadratic growth in zz, and that the terminal value is bounded, we prove the existence, uniqueness, and comparison principle for reflected and non-reflected BDSDEs. Finally, when the generator ff is of general growth in yy and quadratic growth in zz, again with a bounded terminal value, we prove the existence of maximal solutions for BDSDEs in both the reflected and non-reflected situations.

Keywords

Cite

@article{arxiv.2603.14447,
  title  = {Backward doubly stochastic differential equations with or without reflection under weak conditions},
  author = {Shuxian Gao and Ying Hu and Jiaqiang Wen},
  journal= {arXiv preprint arXiv:2603.14447},
  year   = {2026}
}

Comments

42 pages

R2 v1 2026-07-01T11:20:48.627Z