REFLECTED SOLUTIONS OF BACKWARD DOUBLY SDES DRIVEN BY BROWNIAN MOTION AND POISSON RANDOM MEASURE

被引：1

作者：

Karouf, Monia ^{[1
,2
]}

机构：

[1] Higher Inst Appl Sci & Technol Gabes, Gabes, Tunisia

[2] LR17ES11, Gabes, Tunisia

来源：

DISCRETE AND CONTINUOUS DYNAMICAL SYSTEMS | 2019年 / 39卷 / 10期

关键词：

Backward doubly stochastic differential equations; time delayed generators; Poisson point process; Mokobodski's hypothesis; Snell envelope; fixed point theorem; comparison theorem; STOCHASTIC DIFFERENTIAL-EQUATIONS; L-P-SOLUTIONS; VISCOSITY SOLUTIONS; ZERO-SUM; BSDES; BARRIERS; SYSTEMS; GAME; JUMPS;

D O I：

10.3934/dcds.2019245

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We consider backward doubly stochastic differential equations (BDSDEs in short) driven by a Brownian motion and an independent Poisson random measure. We give sufficient conditions for the existence and the uniqueness of solutions of equations with Lipschitz generator which is, first, standard and then depends on the values of a solution in the past. We also prove comparison theorem for reflected BDSDEs.

引用

页码：5571 / 5601

页数：31

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