Reflected backward doubly stochastic differential equations with discontinuous generator

Details Reflected backward doubly stochastic differential equations with discontinuous generator Reflected backward doubly stochastic differential equations with discontinuous generator

2010-11-14

arxiv.org/abs/1011.3221v1

Mathematics

Probability

11 pages

Scientific paper

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

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