Backward doubly stochastic differential equations with discontinuous and stochastic linear growth generator

In this paper, we investigate an existence of minimal (resp. maximal) solutions for backward doubly stochastic differential equations (BDSDEs, in short) when the coefficient with respect to the forward integral is left (resp. right)-continuous in y and continuous in z with stochastic linear growth i...

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Bibliographic Details
Published in:Stochastic analysis and applications 2023-09, Vol.41 (5), p.958-973
Main Author: Owo, Jean-Marc
Format: Article
Language:English
Subjects:
Backward doubly stochastic differential equation
comparison theorem
Differential equations
Mathematical analysis
stochastic linear growth
stochastic Lipschitz-continuous
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Summary:In this paper, we investigate an existence of minimal (resp. maximal) solutions for backward doubly stochastic differential equations (BDSDEs, in short) when the coefficient with respect to the forward integral is left (resp. right)-continuous in y and continuous in z with stochastic linear growth in (y, z). Also, the associated comparison theorem is obtained.
ISSN:0736-2994
1532-9356
DOI:10.1080/07362994.2022.2104314