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http://dx.doi.org/10.14317/jami.2011.29.5_6.1143

THE SOLUTIONS OF BACKWARD DOUBLY STOCHASTIC DIFFERENTIAL EQUATIONS WITH NON-LIPSCHITZ COEFFICIENTS  

Han, Baoyan (Shandong University of Art and Design)
Zhu, Bo (School of Mathematics and Statistics, Shandong Economic University)
Publication Information
Journal of applied mathematics & informatics / v.29, no.5_6, 2011 , pp. 1143-1155 More about this Journal
Abstract
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.
Keywords
backward doubly stochastic differential equation; comparison theorem; Picard-type iteration; backward stochastic integral;
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