Open AccessAnticipated backward doubly SDEs with generators in stochastic Lipschitz condition
Author(s) -
Zhuangzhuang Xing,
Lifeng Wei
Publication year - 2020
Publication title -
journal of physics. conference series
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.21
H-Index - 85
eISSN - 1742-6596
pISSN - 1742-6588
DOI - 10.1088/1742-6596/1549/5/052058
Subject(s) - lipschitz continuity , mathematics , type (biology) , stochastic differential equation , mathematical analysis , geology , paleontology
In this paper, we prove the well-posedness of the solutions to anticipated backward doubly SDEs (ABDSDEs for short) with stochastic Lipschitz coefficients, where the generators (drivers) of equations not only rely on the prospective values of the pair of solutions, but also satisfy a certain type of Lipschitz condition. This type of equation has a practical background in financial mathematics.