Reflected backward doubly stochastic differential equations with discontinuous barrier

被引：6

作者：

Berrhazi, Badr-eddine ^{[1
]}

El Fatini, Mohamed ^{[1
]}

Hilbert, Astrid ^{[2
]}

Mrhardy, Naoual ^{[3
]}

Pettersson, Roger ^{[2
]}

机构：

[1] Ibn Tofail Univ, Dept Math, Kenitra, Morocco

[2] Linnaeus Univ, Dept Math, Vaxjo, Sweden

[3] Sultan Moulay Slimane Univ, Dept Math, FP, Khouribga, Morocco

来源：

STOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC PROCESSES | 2020年 / 92卷 / 07期

关键词：

Backward doubly stochastic differential equations; reflected backward doubly stochastic differential equations; Mertens decomposition; strong optional supermartingale; DRIVEN; OBSTACLE; THEOREM; SPDES; PDIES;

D O I：

10.1080/17442508.2019.1691207

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this paper, we investigate reflected backward doubly stochastic differential equations (RBDSDEs) with a lower not necessarily right-continuous obstacle. First, we establish the existence and uniqueness of a solution to RBDSDEs with Lipschitz drivers. In the second part, we present a comparison theorem and we prove the existence of a minimal solution to the RBDSDE with the continuous driver.

引用

页码：1100 / 1124

页数：25

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