paper

Reflected backward doubly stochastic differential equations with discontinuous generator

arXiv:1011.3221

Abstract

In this note, we study one-dimensional reflected backward doubly stochastic differential equations (RBDSDEs) with one continuous barrier and discontinuous generator (left-or right-continuous). By a comparison theorem establish here for RBDSDEs, we provide a minimal or a maximal solution to RBDSDEs

11 pages

Reflected backward doubly stochastic differential equations with discontinuous generator · wovepaper