Reflected Backward Doubly Stochastic Differential Equations with Monotone Coefficients

Yunhong Li; Lifeng Wei

doi:10.1088/1742-6596/1865/2/022038

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Reflected Backward Doubly Stochastic Differential Equations with Monotone Coefficients

Yunhong Li Lifeng Wei

Year: 2021 Journal: Journal of Physics Conference Series Vol: 1865 (2)Pages: 022038-022038 Publisher: IOP Publishing

DOI: 10.1088/1742-6596/1865/2/022038

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Abstract

Abstract 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.

Keywords:

Uniqueness Monotone polygon Stochastic differential equation Mathematics Applied mathematics Mathematical analysis Differential equation Differential (mechanical device) Physics Geometry

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Stochastic processes and financial applications

Social Sciences → Economics, Econometrics and Finance → Finance

Differential Equations and Numerical Methods

Physical Sciences → Mathematics → Numerical Analysis

Stability and Controllability of Differential Equations

Physical Sciences → Engineering → Control and Systems Engineering

Reflected Backward Doubly Stochastic Differential Equations with Monotone Coefficients

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