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Reflected backward doubly stochastic differential equations with discontinuous barrier
Ibn Tofail Univ, Morocco.
Ibn Tofail Univ, Morocco.
Linnaeus University, Faculty of Technology, Department of Mathematics. (DISA-DSM)ORCID iD: 0000-0002-5362-6475
Sultan Moulay Slimane Univ, Morocco.
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2020 (English)In: Stochastics: An International Journal of Probablitiy and Stochastic Processes, ISSN 1744-2508, E-ISSN 1744-2516, Vol. 92, no 7, p. 1100-1124Article in journal (Refereed) Published
Abstract [en]

In this paper, we investigate reflected backward doubly stochastic differential equations (RBDSDEs) with a lower not necessarily right-continuous obstacle. First, we establish the existence and uniqueness of a solution to RBDSDEs with Lipschitz drivers. In the second part, we present a comparison theorem and we prove the existence of a minimal solution to the RBDSDE with the continuous driver.

Place, publisher, year, edition, pages
Taylor & Francis Group, 2020. Vol. 92, no 7, p. 1100-1124
Keywords [en]
Backward doubly stochastic differential equations, reflected backward doubly stochastic differential equations, Mertens decomposition, strong optional supermartingale
National Category
Other Mathematics
Research subject
Natural Science, Mathematics
Identifiers
URN: urn:nbn:se:lnu:diva-90317DOI: 10.1080/17442508.2019.1691207ISI: 000496847400001Scopus ID: 2-s2.0-85075163566OAI: oai:DiVA.org:lnu-90317DiVA, id: diva2:1374304
Note

Available from: 2019-11-29 Created: 2019-11-29 Last updated: 2022-02-23Bibliographically approved

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Hilbert, AstridPettersson, Roger

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