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A comparison theorem and uniqueness theorem of backward doubly stochastic differential equations

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Abstract

In this paper, we deal with one dimensional backward doubly stochastic differential equations (BDSDEs). We obtain a comparison theorem and a uniqueness theorem for BDSDEs with continuous coefficients.

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Authors and Affiliations

  1. School of Mathematics, Shandong University, Jinan, 250100, China

    Qian Lin & Zhen Wu

  2. Laboratoire de Mathématiques, CNRS UMR 6205, Université de Bretagne Occidentale, 6, avenue Victor Le Gorgeu, CS 93837, 29238, Brest cedex 3, France

    Qian Lin

Authors
  1. Qian Lin
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  2. Zhen Wu
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Correspondence to Zhen Wu.

Additional information

This work is supported by the Young Scholar Award for Doctoral Students of the Ministry of Education of China, the Marie Curie Initial Training Network (PITN-GA-2008-213841), the National Basic Research Program of China (973 Program, No. 2007CB814904), the National Natural Science Foundations of China (No. 10921101) and Shandong Province (No. 2008BS01024), and the Science Fund for Distinguished Young Scholars of Shandong Province (No. JQ200801) and Shandong University (No. 2009JQ004).

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Lin, Q., Wu, Z. A comparison theorem and uniqueness theorem of backward doubly stochastic differential equations. Acta Math. Appl. Sin. Engl. Ser. 27, 223–232 (2011). https://doi.org/10.1007/s10255-011-0057-y

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  • DOI: https://doi.org/10.1007/s10255-011-0057-y

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