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THE SOLUTIONS OF BACKWARD DOUBLY STOCHASTIC DIFFERENTIAL EQUATIONS WITH NON-LIPSCHITZ COEFFICIENTS
Han, Baoyan,Zhu, Bo The Korean Society for Computational and Applied M 2011 Journal of applied mathematics & informatics Vol.29 No.5
In this paper, we shall establish a new theorem on the existence and uniqueness of the solution to a backward doubly stochastic differential equations under a weaker condition than the Lipschitz coefficient. We also show a comparison theorem for this kind of equations.
THE SOLUTIONS OF BACKWARD DOUBLY STOCHASTIC DIFFERENTIAL EQUATIONS WITH NON-LIPSCHITZ COEFFICIENTS
Bo Zhu,Baoyan Han 한국전산응용수학회 2011 Journal of applied mathematics & informatics Vol.29 No.5
In this paper, we shall establish a new theorem on the existence and uniqueness of the solution to a backward doubly stochastic differential equations under a weaker condition than the Lipschitz coeffcient. We also show a comparison theorem for this kind of equations.