Published April 1, 2021 | Version v1
Journal article

Reflected Backward Doubly Stochastic Differential Equations with Monotone Coefficients

  • 1. School of Mathematical Sciences, Ocean University of China, Qingdao 266003 (China)

Description

In this paper, we prove the existence and uniqueness of the solutions to reflected backward doubly stochastic differential equations (RBDSDEs for short) with monotone coefficients. The "reflected" keeps the solution above a given stochastic process. We get the uniqueness and existence by penalization. (paper)

Availability note (English)

Available from http://dx.doi.org/10.1088/1742-6596/1865/2/022038

Additional details

Publishing Information

Journal Title
Journal of Physics. Conference Series (Online)
Journal Volume
1865
Journal Issue
2
Journal Page Range
[7 p.]
ISSN
1742-6596

Conference

Title
International Conference on Advances in Optics and Computational Sciences (ICAOCS)
Dates
21-23 Jan 2021
Place
Ottawa (Canada)

INIS

Country of Publication
United Kingdom
Country of Input or Organization
International Atomic Energy Agency (IAEA)
INIS RN
54098314
Subject category
S97: MATHEMATICAL METHODS AND COMPUTING;
Resource subtype / Literary indicator
Conference
Descriptors DEI
COMPUTERIZED SIMULATION; DIFFERENTIAL EQUATIONS; STOCHASTIC PROCESSES
Descriptors DEC
EQUATIONS; SIMULATION