Backward doubly stochastic equations with jumps and comparison theorems

JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS

卷:443

Article

Xu, Wei¹ 

[1] Beijing Normal Univ, Sch Math Sci, Beijing 100875, Peoples R China

关键词: Backward doubly stochastic differential equations;    Jump;    Comparison theorem;    Gaussian white noise;   

DOI  :  10.1016/j.jmaa.2016.05.050

来源: Elsevier

【 摘 要 】

In this work we mainly prove the existence and pathwise uniqueness of solutions to general backward doubly stochastic differential equations with jumps appearing in both forward and backward integral parts. Several comparison theorems under some weak conditions are also given. Finally we apply comparison theorems in proving the existence of solution to some special backward doubly stochastic differential equations with drift coefficient increasing linearly. (C) 2016 Elsevier Inc. All rights reserved.

【 授权许可】

Free