A class of backward doubly stochastic differential equations with non-Lipschitz coefficients

Qian Lin

doi:10.1016/j.spl.2009.07.019

A class of backward doubly stochastic differential equations with non-Lipschitz coefficients

Qian Lin

https://doi.org/10.1016/j.spl.2009.07.019

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Journal: Statistics and Probability Letters	Publication Date: Jul 28, 2009
Citations: 13

Affiliation: Shandong University, Université de Bretagne Occidentale, Laboratoire de Mathématiques, French National Centre for Scientific Research

#Backward Doubly Stochastic Differential Equations #non-Lipschitz Coefficients + Show 4 more

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Abstract

In this paper, we deal with a class of one-dimensional backward doubly stochastic differential equations (BDSDEs) with non-Lipschitz coefficients. We obtain an existence theorem and a comparison theorem for solutions of the class of BDSDEs.

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