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Reflected backward doubly stochastic differential equations with discontinuous coefficients

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Abstract

In this paper, we study one-dimensional reflected backward doubly stochastic differential equations (RBDSDEs) with one continuous barrier and discontinuous (left or right continuous) generator. We obtain an existence theorem and a comparison theorem for solutions of the class of RBDSDEs.

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Authors and Affiliations

  1. School of Information and Mathematics, Yangtze University, Jingzhou, 434023, P. R. China

    Zhi Li

  2. School of Mathematics and Information Sciences, Guangzhou University, Guangzhou, 510006, P. R. China

    Jiao Wan Luo

Authors
  1. Zhi Li
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  2. Jiao Wan Luo
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Correspondence to Zhi Li.

Additional information

Supported by Chinese Natural Science Foundation (Grant No. 11271093) and the Specialized Research Fund for the Doctoral Program of Higher Education (Grant No. 20090002110047)

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Li, Z., Luo, J.W. Reflected backward doubly stochastic differential equations with discontinuous coefficients. Acta. Math. Sin.-English Ser. 29, 639–650 (2013). https://doi.org/10.1007/s10114-013-2074-7

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  • DOI: https://doi.org/10.1007/s10114-013-2074-7

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