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Lp-minimal solutions of BDSDEs with left continuous and stochastic linear growth coefficients and p∈(1,2)

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  • Owo, J.M.

Abstract

In this work, we investigate backward doubly stochastic differential equations. Via suitable approximations and comparison theorem, we prove the existence of a minimal solution in Lp sense, for any p∈(1,2), when the coefficients are left continuous with stochastic linear growth.

Suggested Citation

  • Owo, J.M., 2025. "Lp-minimal solutions of BDSDEs with left continuous and stochastic linear growth coefficients and p∈(1,2)," Statistics & Probability Letters, Elsevier, vol. 223(C).
    • Handle: RePEc:eee:stapro:v:223:y:2025:i:c:s0167715225000781
    DOI: 10.1016/j.spl.2025.110433
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    References listed on IDEAS

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    1. Auguste Aman, 2012. "Reflected Generalized Backward Doubly SDEs Driven by Lévy Processes and Applications," Journal of Theoretical Probability, Springer, vol. 25(4), pages 1153-1172, December.
    2. N'zi, Modeste & Owo, Jean-Marc, 2009. "Backward doubly stochastic differential equations with discontinuous coefficients," Statistics & Probability Letters, Elsevier, vol. 79(7), pages 920-926, April.
    3. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
    4. Owo, Jean-Marc, 2015. "Backward doubly stochastic differential equations with stochastic Lipschitz condition," Statistics & Probability Letters, Elsevier, vol. 96(C), pages 75-84.
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