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Reflected Backward Doubly Stochastic Differential Equations with Discontinuous Coefficients 被引量：2

Reflected Backward Doubly Stochastic Differential Equations with Discontinuous Coefficients
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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） genera- tor. We obtain an existence theorem and a comparison theorem for solutions of the class of RBDSDEs. In this paper, we study one-dimensional reflected backward doubly stochastic differential equations （RBDSDEs） with one continuous barrier and discontinuous （left or right continuous） genera- tor. We obtain an existence theorem and a comparison theorem for solutions of the class of RBDSDEs.
作者 Zhi LI Jiao Wan LUO
机构地区 School of Information and Mathematics School of Mathematics and Information Sciences
出处 《Acta Mathematica Sinica,English Series》 SCIE CSCD 2013年第4期639-650,共12页 数学学报（英文版）
基金 Supported by Chinese Natural Science Foundation(Grant No.11271093) the Specialized Research Fund for the Doctoral Program of Higher Education(Grant No.20090002110047)
关键词 Reflected backward doubly stochastic differential equations existence theorem comparison theorem Reflected backward doubly stochastic differential equations, existence theorem, comparison theorem
分类号 O211.63 [理学—概率论与数理统计] O241.82 [理学—计算数学]
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  • 1Pardoux, E., Peng, S.: Backward doubly stochastic differential equations and systems of quasilinear SPDEs. Probab. Theory Rela$ed Fields, 98, 209-227 (1994).
  • 2Shi, Y., Gu, Y., Liu, K.: Comparison theorems of backward doubly stochastic differential equations and applications. Stochastic Analysis and Application, 23, 97-110 (2005).
  • 3Lin, Q.: A class of backward doubly stochastic differential equations with non-Lipschitz coefficients. Statist. Probab. Lett., 79(20), 2223-2229 (2009).
  • 4Lin, Q.: A generalized existence theorem of backward doubly stochastic differential equations. Acta Math- ematiea Sinica, English Series, 26(8), 525-1534 (2010).
  • 5Lin, Q.: Backward doubly stochastic differential equations with weak assumptions on the coefficients. Applied Mathematics and Computation, 217, 9322-9333 (2011).
  • 6N'zi, M., Owo, J. M.: Backward doubly stochastic differential equations with discontinuous coefficients. Statist. Probab. Left, 79, 920-926 (2009).
  • 7Bahlali, K., Hassani, M., Mansouri, B., et al.: One barrier reflected backward doubly differential equations with continuous generator. C. R. Math. Acad. Sci. Paris, 347, 1201 1206 (2009).
  • 8Aman, A., Owo, J. M.: Reflected backward doubly stochastic differential equations with discontinuous generator. Random Oper. Stoch. Equ., DOI:10.1515/rose-2012-0005 (2012).
  • 9Saisho, Y.: SDE for multidimensional domains with reflecting boundary. Probab. Theory Related Fields, 74, 455-477 (1987).

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Acta Mathematica Sinica,English Series
2013年 第4期

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