Backward doubly stochastic differential equations with non-Lipschitz coefficients

DOI10.1515/ROSE.2008.018zbMath1199.60058OpenAlexW1984684129MaRDI QIDQ5324869

Modeste N'zi, Jean-Marc Owo

Publication date: 8 August 2009

Published in: Random Operators and Stochastic Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/rose.2008.018

zbMATH Keywords

non-Lipschitz coefficientsBackward doubly stochastic differential equations

Mathematics Subject Classification ID

Gaussian processes (60G15) Central limit and other weak theorems (60F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (12)

Reflected backward doubly stochastic differential equations with discontinuous barrier ⋮ A general maximum principle for mean-field forward-backward doubly stochastic differential equations with jumps processes ⋮ Backward doubly stochastic differential equations with discontinuous and stochastic linear growth generator ⋮ RBDSDEs with jumps and optional Barrier and mean field game with common noise ⋮ Near-relaxed control problem of fully coupled forward-backward doubly system ⋮ Stochastic viscosity solutions for SPDEs with continuous coefficients ⋮ On optimal control problem for backward stochastic doubly systems ⋮ Lp - estimates of solutions of backward doubly stochastic differential equations ⋮ On a class of backward doubly stochastic differential equations ⋮ Backward doubly SDEs with continuous and stochastic linear growth coefficients ⋮ Necessary condition for optimality of forward-backward doubly system ⋮ Backward doubly stochastic differential equations with stochastic Lipschitz condition

Cites Work

• Adapted solution of a backward stochastic differential equation
• Backward doubly stochastic differential equations and systems of quasilinear SPDEs
• Backward Stochastic Differential Equations in Finance

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