A class of backward doubly stochastic differential equations with non-Lipschitz coefficients
In this paper, we deal with a class of one-dimensional backward doubly stochastic differential equations (BDSDEs) with non-Lipschitz coefficients. We obtain an existence theorem and a comparison theorem for solutions of the class of BDSDEs.
Year of publication: |
2009
|
---|---|
Authors: | Lin, Qian |
Published in: |
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 79.2009, 20, p. 2223-2229
|
Publisher: |
Elsevier |
Saved in:
Online Resource
Saved in favorites
Similar items by person
-
An evaluation of the 1994 tax reform in China using a general equilibrium model
Toh Mun Heng, (2005)
-
Optimal consumption and portfolio choice with ambiguous interest rates and volatility
Lin, Qian, (2020)
-
Optimal consumption and portfolio choice with ambiguity
Lin, Qian, (2014)
- More ...