One barrier reflected backward doubly stochastic differential equations with discontinuous monotone coefficients

Zhi Li and Jiaowan Luo

Statistics & Probability Letters, 2012, vol. 82, issue 10, 1841-1848

Abstract: In this paper, we study one-dimensional reflected backward doubly stochastic differential equations (RBDSDEs) with one continuous barrier and discontinuous (left or right continuous) monotone generator. An existence theorem and a comparison theorem for solutions of the class of RBDSDEs are established. Some known results are extended.

Keywords: Reflected backward doubly stochastic differential equations; Monotone coefficients; Comparison theorem (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167715212001952
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:82:y:2012:i:10:p:1841-1848

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

DOI: 10.1016/j.spl.2012.05.020

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().