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Reflected backward doubly stochastic differential equations with discontinuous generator (1011.3221v1)
Published 14 Nov 2010 in math.PR
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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