Work

Reflected backward doubly stochastic differential equations with discontinuous generator

Year: 2012

Type: article

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 established here for RBDSDEs, we provide a minimal or a maximal solution to RBDSDEs.

Source: Random Operators and Stochastic Equations

DOI: 10.1515/rose-2012-0005

Authors: Auguste Aman, Jean Marc Owo

Institution: Université Félix Houphouët-Boigny

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W1964717531

FWCI: 1.519

Cites: 4

Cited by: 18

Related to: 10