COMPARISON THEOREM OF BACKWARD DOUBLY STOCHASTIC DIFFERENTIAL EQUATIONS

COMPARISON THEOREM OF BACKWARD DOUBLY STOCHASTIC DIFFERENTIAL EQUATIONS

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摘要 This paper is devoted to deriving a comparison theorem of solutions to backward doubly stochastic differential equations driven by Brownian motion and backward It?-Kunita integral. By the application of this theorem, we give an existence result of the solutions to these equations with continuous coefficients. This paper is devoted to deriving a comparison theorem of solutions to backward doubly stochastic differential equations driven by Brownian motion and backward It-Kunita integral. By the application of this theorem, we give an existence result of the solutions to these equations with continuous coefficients.

作者 Pengju Duan (Dept. of Math., Suzhou College, Suzhou 234000, Anhui, Yong Ren (Dept. of Math., Anhui Normal University, Wuhu 241000, Anhui)

出处《Annals of Differential Equations》 2010年第2期147-154,共8页 微分方程年刊（英文版）

基金 supported by the National Natural Science Foundation of China (10726075)

关键词 backward doubly stochastic differential equation comparison theorem It-Kunita integral backward doubly stochastic differential equation comparison theorem It-Kunita integral

分类号 O211.63 [理学—概率论与数理统计]

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参考文献10

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1Qing-feng ZHU,Yu-feng SHI.A Class of Backward Doubly Stochastic Differential Equations with Discontinuous Coefficients[J].Acta Mathematicae Applicatae Sinica,2014,30(4):965-976. 被引量：3
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6Qian LIN.A Generalized Existence Theorem of Backward Doubly Stochastic Differential Equations[J].Acta Mathematica Sinica,English Series,2010,26(8):1525-1534. 被引量：7
7Hui-nan LENG.Infinite Horizon Backward Doubly Stochastic Differential Equations with Non-degenerate Terminal Functions and Their Stationary Property[J].Acta Mathematicae Applicatae Sinica,2016,32(2):407-422.
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Annals of Differential Equations

2010年第2期

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COMPARISON THEOREM OF BACKWARD DOUBLY STOCHASTIC DIFFERENTIAL EQUATIONS

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