Reflected backward doubly stochastic differential equations with discontinuous generator

Auguste Aman; Jean Marc Owo

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arXiv · 1011.3221

Reflected backward doubly stochastic differential equations with discontinuous generator

Auguste Aman·Jean Marc Owo

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Abstract

In this note, we study one-dimensional reflected backward doubly stochastic differential equations (RBDSDEs) with one continuous barrier and discontinuous generator (left-or right-continuous). By a comparison theorem establish here for RBDSDEs, we provide a minimal or a maximal solution to RBDSDEs

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Auguste Aman, Jean Marc Owo. 2010-11-14. Reflected backward doubly stochastic differential equations with discontinuous generator. https://arxiv.org/abs/1011.3221

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