Backward doubly stochastic differential equations with or without reflection under weak conditions

Abstract

In this paper, we study the well-posedness of backward doubly stochastic differential equations (BDSDEs), both with and without reflection, under weak conditions. First, when the generator $f$ is of general growth in $y$ and linear growth in $z$, we establish the existence, uniqueness, comparison principle, and the existence of maximal solutions for BDSDEs, with or without reflection. Second, under the assumption that $f$ is of linear growth in $y$ and quadratic growth in $z$, and that the terminal value is bounded, we prove the existence, uniqueness, and comparison principle for reflected and non-reflected BDSDEs. Finally, when the generator $f$ is of general growth in $y$ and quadratic growth in $z$, again with a bounded terminal value, we prove the existence of maximal solutions for BDSDEs in both the reflected and non-reflected situations.

Theorems & Definitions (48)

• Definition 2.1
• Remark 3.1
• Theorem 3.2
• Lemma 3.3
• Proposition 3.4
• proof
• proof : Proof of \ref{['t3.2']}
• Proposition 3.5: Comparison
• proof
• Theorem 3.6