Reflected Backward Doubly Stochastic Differential Equations with Monotone Coefficients. Issue 2 (April 2021) - Li, Yunhong
Abstract: In this paper, we prove the existence and uniqueness of the solutions to reflected backward doubly stochastic differential equations (RBDSDEs for short) with monotone coefficients. The "reflected" keeps the solution above a given stochastic process. We get the uniqueness and existence by penalization.