A Class of Backward Doubly Stochastic Differential Equations with Discontinuous Coefficients

被引：0

作者：

Qing-feng ZHU ^{[1
,2
]}

Yu-feng SHI ^{[2
,3
]}

机构：

[1] School of Mathematic and Quantitative Economics,Shandong University of Finance and Economics

[2] Institute for Financial Studies and School of Mathematics,Shandong University

[3] School of Statistics,Shandong University of Finance and Economics

来源：

Acta Mathematicae Applicatae Sinica | 2014年 / 04期

基金：

中国国家自然科学基金;

关键词：

backward doubly stochastic differential equations; backward stochastic integral; comparison theorem;

D O I：

暂无

中图分类号：

O211.63 [随机微分方程];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this work the existence of solutions of one-dimensional backward doubly stochastic differential equations(BDSDEs) with coefficients left-Lipschitz in y(may be discontinuous) and Lipschitz in z is studied.Also,the associated comparison theorem is obtained.

引用

页码：965 / 976

页数：12

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