A Class of Backward Doubly Stochastic Differential Equations with Discontinuous Coefficients

Details A Class of Backward Doubly Stochastic Differential Equations with Discontinuous Coefficients A Class of Backward Doubly Stochastic Differential Equations with Discontinuous Coefficients

2010-05-14

arxiv.org/abs/1005.2500v1

Mathematics

Probability

15 pages

Scientific paper

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.

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