Výsledky vyhledávání - "Reflected backward doubly stochastic differential equations"

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Reflected backward doubly stochastic differential equations with time delayed generators

Autor: Mansouri, Badreddine, Salhi, Imen, Tamer, Lazhar

We consider a class of reflected backward doubly stochastic differential equations with time delayed generator (in short RBDSDE with time delayed generator), in this case generator at time $t$ can depend on the values of a solution in the past. Under

Externí odkaz: http://arxiv.org/abs/1703.10532

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A new type of reflected backward doubly stochastic differential equations

Autor: Aman, Auguste, Ren, Yong

In this paper, we introduce a new kind of "variant" reflected backward doubly stochastic differential equations (VRBDSDEs in short), where the drift is the nonlinear function of the barrier process. In the one stochastic case, this type of equations

Externí odkaz: http://arxiv.org/abs/1108.0836

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Reflected backward doubly stochastic differential equations with discontinuous generator

Autor: Aman, Auguste, Owo, Jean Marc

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 pr

Externí odkaz: http://arxiv.org/abs/1011.3221

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$L^p$-solutions of Reflected Backward Doubly Stochastic Differential Equations

Autor: Lu, Wen

In this paper, we deal with a class of one-dimensional reflected backward doubly stochastic differential equations with one continuous lower barrier. We derive the existence and uniqueness of solutions for these equations with Lipschitz coefficients.

Externí odkaz: http://arxiv.org/abs/0912.5060

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