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
收藏
页码：5571 / 5601
页数：31
相关论文
共 50 条
  • [31] HARNACK INEQUALITIES FOR FUNCTIONAL SDES DRIVEN BY SUBORDINATE FRACTIONAL BROWNIAN MOTION
    LI, Z. H. I.
    Peng, Y. A. R. O. N. G.
    Yan, L. I. T. A. N.
    JOURNAL OF MATHEMATICAL INEQUALITIES, 2022, 16 (04): : 1429 - 1453
  • [32] Harnack Inequality and Applications for SDEs Driven by G-Brownian Motion
    Fen-fen Yang
    Acta Mathematicae Applicatae Sinica, English Series, 2020, 36 : 627 - 635
  • [33] Harnack inequalities and applications for functional SDEs driven by fractional Brownian motion
    Li, Zhi
    Luo, Jiaowan
    RANDOM OPERATORS AND STOCHASTIC EQUATIONS, 2014, 22 (04) : 213 - 226
  • [34] Harnack Inequality and Applications for SDEs Driven by G-Brownian Motion
    Fen-fen YANG
    ActaMathematicaeApplicataeSinica, 2020, 36 (03) : 627 - 635
  • [35] Smooth densities for SDEs driven by subordinated Brownian motion with Markovian switching
    Sun, Xiaobin
    Xie, Yingchao
    FRONTIERS OF MATHEMATICS IN CHINA, 2018, 13 (06) : 1447 - 1467
  • [36] HARNACK INEQUALITIES FOR FUNCTIONAL SDES DRIVEN BY SUBORDINATE MULTIFRACTIONAL BROWNIAN MOTION
    Li, Zhi
    Yan, Litan
    Xu, Liping
    MATHEMATICAL INEQUALITIES & APPLICATIONS, 2021, 24 (04): : 1149 - 1166
  • [37] Smooth densities for SDEs driven by subordinated Brownian motion with Markovian switching
    Xiaobin Sun
    Yingchao Xie
    Frontiers of Mathematics in China, 2018, 13 : 1447 - 1467
  • [38] Harnack Inequality and Applications for SDEs Driven byG-Brownian Motion
    Yang, Fen-fen
    ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES, 2020, 36 (03): : 627 - 635
  • [39] Large deviations for the boundary local time of doubly reflected Brownian motion
    Forde, Martin
    Kumar, Rohini
    Zhang, Hongzhong
    STATISTICS & PROBABILITY LETTERS, 2015, 96 : 262 - 268
  • [40] OSCILLATION OF BROWNIAN-MOTION RANDOM MEASURE
    KHALILI, S
    ANNALS OF PROBABILITY, 1977, 5 (01): : 142 - 144
12345