2023 / June Volume 18 No.2
Minimal solution of irregular barrier reflected BDSDEs with left continuous and stochastic linear growth generators
Published Date |
2023 / June
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Title | Minimal solution of irregular barrier reflected BDSDEs with left continuous and stochastic linear growth generators |
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Pagination | 185-224 |
Abstract | In this paper, we deal with reflected backward doubly stochastic differential equations (RBDSDEs in short) with one rcll reflecting barrier when the coefficient $f$ satisfies a stochastic Lipschitz condition, via penalization method we prove the existence and uniqueness of solutions. The comparison theorem is also established. Via an inf-convolution approximation and comparison theorem, we show the existence of a minimal solution to the RBDSDE under continuous and stochastic linear growth condition, also we provide a minimal solution to RBDSDE with left continuous and stochastic linear growth condition. |
DOI | |
AMS Subject Classification |
60H10, 60H05
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Received |
2022-12-25
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Revised |
2023-11-06
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Accepted |
2023-11-06
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