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Backward doubly stochastic differential equations with discontinuous coefficients

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  • N'zi, Modeste
  • Owo, Jean-Marc

Abstract

We prove an existence result for backward doubly stochastic differential equations whose coefficient with respect to the forward integral is discontinuous in y and continuous in z.

Suggested Citation

  • N'zi, Modeste & Owo, Jean-Marc, 2009. "Backward doubly stochastic differential equations with discontinuous coefficients," Statistics & Probability Letters, Elsevier, vol. 79(7), pages 920-926, April.
    • Handle: RePEc:eee:stapro:v:79:y:2009:i:7:p:920-926
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    References listed on IDEAS

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    1. N. El Karoui & S. Peng & M. C. Quenez, 1997. "Backward Stochastic Differential Equations in Finance," Mathematical Finance, Wiley Blackwell, vol. 7(1), pages 1-71, January.
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    Cited by:

    1. Li, Zhi & Luo, Jiaowan, 2012. "One barrier reflected backward doubly stochastic differential equations with discontinuous monotone coefficients," Statistics & Probability Letters, Elsevier, vol. 82(10), pages 1841-1848.
    2. Tian, Dejian & Jiang, Long & Davison, Matt, 2010. "On the existence of solutions to BSDEs with generalized uniformly continuous generators," Statistics & Probability Letters, Elsevier, vol. 80(9-10), pages 903-909, May.
    3. Owo, Jean-Marc, 2015. "Backward doubly stochastic differential equations with stochastic Lipschitz condition," Statistics & Probability Letters, Elsevier, vol. 96(C), pages 75-84.

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