A generalized reflected backward doubly SDEs with stochastic lipschitz coefficients and discontinuous barrier

In this paper, we establish existence and uniqueness results for generalized backward doubly stochastic differential equations (GRBDSDEs) with a right upper semi-continuous and left-limited (r.u.s.c.l.l.) barrier and stochastic Lipschitz coefficients. The analysis is based on Mertens' decomposition, tools from optimal stopping theory, and a Picard iteration scheme. In addition, we prove a comparison theorem and use it to establish the existence of a minimal solution when the coefficients satisfy a stochastic linear growth condition.

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Publication Details

Journal
Stochastics
Published
2026-07-01
DOI
https://doi.org/10.1080/17442508.2026.2696555
Primary Topic
Stochastic processes and financial applications
Type
article
Field-Weighted Citation Impact
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article

A generalized reflected backward doubly SDEs with stochastic lipschitz coefficients and discontinuous barrier

N. Mrhardy, L. Basri, M. El Fatini, A. Hilbert et al.
Stochastics
Stochastic processes and financial applications
article

A generalized reflected backward doubly SDEs with stochastic lipschitz coefficients and discontinuous barrier

N. Mrhardy, L. Basri, M. El Fatini, A. Hilbert, B. Berrhazi
article en

Abstract

In this paper, we establish existence and uniqueness results for generalized backward doubly stochastic differential equations (GRBDSDEs) with a right upper semi-continuous and left-limited (r.u.s.c.l.l.) barrier and stochastic Lipschitz coefficients. The analysis is based on Mertens' decomposition, tools from optimal stopping theory, and a Picard iteration scheme. In addition, we prove a comparison theorem and use it to establish the existence of a minimal solution when the coefficients satisfy a stochastic linear growth condition.

Stochastics
Mohammed V University (MA), Linnaeus University (SE), Université Ibn-Tofail (MA), Université Sultan Moulay Slimane (MA)
Openalex Percentile: Top 5%
Stochastic processes and financial applications
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