[Équations différentielles doublement stochastiques rétrogrades réfléchies à une barrière]
Nous établissons l'existence et l'unicité des solutions pour des équations différentielles doublement stochastiques rétrogrades réfléchies (EDDSRR) avec une barrière continue et des coefficients uniformement lipschitziens. Nous montrons également l'existence d'une solution maximale et d'une solution minimale pour des EDDSRR ayant un générateur continu.
We prove the existence and uniqueness of solutions to Reflected Backward Doubly Stochastic Differential Equations (RBDSDEs) with one continuous barrier and uniformly Lipschitz coefficients. The existence of a maximal and a minimal solution for RBDSDEs with continuous generator is also established.
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@article{CRMATH_2009__347_19-20_1201_0,
author = {Bahlali, Kahled and Hassani, M. and Mansouri, B. and Mrhardy, N.},
title = {One barrier reflected backward doubly stochastic differential equations with continuous generator},
journal = {Comptes Rendus. Math\'ematique},
pages = {1201--1206},
publisher = {Elsevier},
volume = {347},
number = {19-20},
year = {2009},
doi = {10.1016/j.crma.2009.08.001},
language = {en},
url = {http://www.numdam.org/articles/10.1016/j.crma.2009.08.001/}
}
TY - JOUR AU - Bahlali, Kahled AU - Hassani, M. AU - Mansouri, B. AU - Mrhardy, N. TI - One barrier reflected backward doubly stochastic differential equations with continuous generator JO - Comptes Rendus. Mathématique PY - 2009 SP - 1201 EP - 1206 VL - 347 IS - 19-20 PB - Elsevier UR - http://www.numdam.org/articles/10.1016/j.crma.2009.08.001/ DO - 10.1016/j.crma.2009.08.001 LA - en ID - CRMATH_2009__347_19-20_1201_0 ER -
%0 Journal Article %A Bahlali, Kahled %A Hassani, M. %A Mansouri, B. %A Mrhardy, N. %T One barrier reflected backward doubly stochastic differential equations with continuous generator %J Comptes Rendus. Mathématique %D 2009 %P 1201-1206 %V 347 %N 19-20 %I Elsevier %U http://www.numdam.org/articles/10.1016/j.crma.2009.08.001/ %R 10.1016/j.crma.2009.08.001 %G en %F CRMATH_2009__347_19-20_1201_0
Bahlali, Kahled; Hassani, M.; Mansouri, B.; Mrhardy, N. One barrier reflected backward doubly stochastic differential equations with continuous generator. Comptes Rendus. Mathématique, Tome 347 (2009) no. 19-20, pp. 1201-1206. doi : 10.1016/j.crma.2009.08.001. http://www.numdam.org/articles/10.1016/j.crma.2009.08.001/
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