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arXiv:1005.2500 [math.PR]AbstractReferencesReviewsResources

A Class of Backward Doubly Stochastic Differential Equations with Discontinuous Coefficients

Qingfeng Zhu, Yufeng Shi

Published 2010-05-14Version 1

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

Comments: 15 pages
Categories: math.PR
Subjects: 60H10, 60H05
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