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

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.

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Year of publication:	2012
Authors:	Li, Zhi ; Luo, Jiaowan
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 82.2012, 10, p. 1841-1848
Publisher:	Elsevier
Subject:	Reflected backward doubly stochastic differential equations \| Monotone coefficients \| Comparison theorem

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010597142