Reflected backward doubly stochastic differential equations with time delayed generators

Badreddine Mansouri; Imen Salhi; Lazhar Tamer

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arXiv · 1703.10532

Reflected backward doubly stochastic differential equations with time delayed generators

Badreddine Mansouri·Imen Salhi·Lazhar Tamer

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Abstract

We consider a class of reflected backward doubly stochastic differential equations with time delayed generator (in short RBDSDE with time delayed generator), in this case generator at time $t$ can depend on the values of a solution in the past. Under a Lipschitz condition, we ensure the existence and uniqueness of the solution.

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Badreddine Mansouri, Imen Salhi, Lazhar Tamer. 2017-03-30. Reflected backward doubly stochastic differential equations with time delayed generators. https://arxiv.org/abs/1703.10532

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