Multivalued backward doubly stochastic differential equations with time delayed coefficients

Abstract

In this paper, we deal with a class of multivalued backward doubly stochastic differential equations with time delayed coefficients. Based on a slight extension of the existence and uniqueness of solutions for backward doubly stochastic differential equations with time delayed coefficients, we establish the existence and uniqueness of solutions for these equations by means of Yosida approximation.

12 pages

References in corpus (2)

• Applications of time-delayed backward stochastic differential equations to pricing, hedging and portfolio management
• Multivalued Backward Stochastic Differential Equations with Time Delayed Generators