Reflected backward doubly stochastic differential equations with discontinuous generator

Published 14 Nov 2010 in math.PR | (1011.3221v1)

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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