Reflected Backward Doubly Stochastic Differential Equations and Application
Résumé
This paper is devoted to study the class of reflected backward doubly stochastic differ- ential equation (RBDSDE, for short). We first prove existence and uniqueness result under Lipschitz condition on the coefficient (drift) via the penalization method. As application we derive the obstacle problem of stochastic PDE.
Domaines
Probabilités [math.PR]
Origine : Fichiers produits par l'(les) auteur(s)