One barrier reflected backward doubly stochastic differential equations with discontinuous monotone coefficients

被引：7

作者：

Li, Zhi ^{[1
]}

Luo, Jiaowan ^{[1
]}

机构：

[1] Guangzhou Univ, Sch Math & Informat Sci, Dept Probabil & Stat, Guangzhou 510006, Guangdong, Peoples R China

来源：

STATISTICS & PROBABILITY LETTERS | 2012年 / 82卷 / 10期

关键词：

Reflected backward doubly stochastic differential equations; Monotone coefficients; Comparison theorem;

D O I：

10.1016/j.spl.2012.05.020

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper, we study one-dimensional reflected backward doubly stochastic differential equations (RBDSDEs) with one continuous barrier and discontinuous (left or right continuous) monotone generator. An existence theorem and a comparison theorem for solutions of the class of RBDSDEs are established. Some known results are extended. (C) 2012 Elsevier B.V. All rights reserved.

引用

页码：1841 / 1848

页数：8

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