Journal of applied mathematics & informatics

The Korean Society for Computational and Applied Mathematics (한국전산응용수학회)
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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)
  • Received : 2010.09.20
  • Accepted : 2010.12.06
  • Published : 2011.09.30
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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.

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References

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