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A class of backward doubly stochastic differential equations with discontinuous coefficients

A class of backward doubly stochastic differential equations with discontinuous coefficients In this work the existence of solutions of one-dimensional backward doubly stochastic differential equations (BDSDEs) with coefficients left-Lipschitz in y (may be discontinuous) and Lipschitz in z is studied. Also, the associated comparison theorem is obtained. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Acta Mathematicae Applicatae Sinica Springer Journals

A class of backward doubly stochastic differential equations with discontinuous coefficients

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Publisher
Springer Journals
Copyright
Copyright © 2014 by Institute of Applied Mathematics, Academy of Mathematics and System Sciences, Chinese Academy of Sciences and Springer-Verlag Berlin Heidelberg
Subject
Mathematics; Applications of Mathematics; Math Applications in Computer Science; Theoretical, Mathematical and Computational Physics
ISSN
0168-9673
eISSN
1618-3932
DOI
10.1007/s10255-011-0136-0
Publisher site
See Article on Publisher Site

Abstract

In this work the existence of solutions of one-dimensional backward doubly stochastic differential equations (BDSDEs) with coefficients left-Lipschitz in y (may be discontinuous) and Lipschitz in z is studied. Also, the associated comparison theorem is obtained.

Journal

Acta Mathematicae Applicatae SinicaSpringer Journals

Published: Nov 23, 2011

References