Existence and uniqueness of solutions for BDSDEs with weak monotonicity coefficients

Runyu Zhu and Dejian Tian

Statistics & Probability Letters, 2019, vol. 153, issue C, 48-55

Abstract: In this paper, we study backward doubly stochastic differential equations (BDSDEs for short) with weak monotonicity coefficients. With the help of choosing the suitable approximation sequence, we derive the existence and uniqueness of solutions to BDSDEs. The comparison theorem is also established in one-dimensional situation.

Keywords: Backward doubly stochastic differential equations; Weak monotonicity condition; Comparison theorem (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1016/j.spl.2019.05.017

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