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arxiv: 1703.10532 · v1 · pith:XXM6KCQKnew · submitted 2017-03-30 · 🧮 math.PR

Reflected backward doubly stochastic differential equations with time delayed generators

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keywords timedelayedgeneratorbackwarddifferentialdoublyequationsreflected
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We consider a class of reflected backward doubly stochastic differential equations with time delayed generator (in short RBDSDE with time delayed generator), in this case generator at time $t$ can depend on the values of a solution in the past. Under a Lipschitz condition, we ensure the existence and uniqueness of the solution.

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