Reflected Solutions of Backward Doubly Stochastic Differential Equations

Weiqiang Yang; Yufeng Shi; Yangling Gu

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arXiv · 0806.0917

Reflected Solutions of Backward Doubly Stochastic Differential Equations

Weiqiang Yang·Yufeng Shi·Yangling Gu

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Abstract

We study reflected solutions of one-dimensional backward doubly stochastic differential equations (BDSDEs in short). The "reflected" keeps the solution above a given stochastic process. We get the uniqueness and existence by penalization. For the existence of backward stochastic integral, our proof is different from [KKPPQ] slightly. We also obtain a comparison theorem for reflected BDSDEs.

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BibTeX RIS

Weiqiang Yang, Yufeng Shi, Yangling Gu. 2009-06-08. Reflected Solutions of Backward Doubly Stochastic Differential Equations. https://arxiv.org/abs/0806.0917

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