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Mathematics  2010 

A Class of Backward Doubly Stochastic Differential Equations with Discontinuous Coefficients

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Abstract:

In this work the existence of solutions of one-dimensional backward dou- bly stochastic differential equations (BDSDEs in short) where the coefficient is left-Lipschitz in y (may be discontinuous) and Lipschitz in z is studied. Also, the associated comparison theorem is obtained.

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