Reflected backward doubly stochastic differential equations with discontinuous coefficients

Authors
Li, Zhi Luo, Jiao Wan
Citation
Li, Zhi et Luo, Jiao Wan, Reflected backward doubly stochastic differential equations with discontinuous coefficients, Acta mathematica Sinica. English series (Print) , 29(4), 2013, pp. 639-650
Journal title
Acta mathematica Sinica. English series (Print) → ACNP
ISSN journal
14398516
Volume
29
Issue
4
Year of publication
2013
Pages
639 - 650
Database
ACNP
SICI code
Abstract
In this paper, we study one-dimensional reflected backward doubly stochastic differential equations (RBDSDEs) with one continuous barrier and discontinuous (left or right continuous) generator. We obtain an existence theorem and a comparison theorem for solutions of the class of RBDSDEs.