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A class of backward doubly stochastic differential equations with discontinuous coefficients |
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| Authors: | Qing-feng Zhu Yu-feng Shi |
| Affiliation: | 1. School of Mathematic and Quantitative Economics, Shandong University of Finance and Economics, Jinan, 250014, China 2. Institute for Financial Studies and School of Mathematics, Shandong University, Jinan, 250199, China 3. School of Statistics, Shandong University of Finance and Economics, Jinan, 250014, China |
| Abstract: | In this work the existence of solutions of one-dimensional backward doubly stochastic differential equations (BDSDEs) with coefficients left-Lipschitz in y (may be discontinuous) and Lipschitz in z is studied. Also, the associated comparison theorem is obtained. |
| Keywords: | backward doubly stochastic differential equations backward stochastic integral comparison theorem |
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