共查询到19条相似文献,搜索用时 93 毫秒
1.
考虑一类一维倒向随机微分方程(BSDE),其系数关于y满足左Lipschitz条件(可能是不连续的),关于z满足Lipschitz条件.在这样的条件下,证明了BSDE的解是存在的,并且得到了相应的比较定理. 相似文献
2.
贾广岩 《数学年刊A辑(中文版)》2007,(5)
考虑一类一维倒向随机微分方程(BSDE),其系数关于y满足左Lipschitz条件(可能是不连续的),关于z满足Lipschitz条件.在这样的条件下,证明了BSDE的解是存在的,并且得到了相应的比较定理. 相似文献
3.
提出倒向随机微分方程(简称BSDE)弱解的概念, 讨论了两类BSDE弱解存在的等价条件,并得到弱解存在的几个充分条件和减弱BSDE解存在的条件: 漂移系数g关于(y,z)满足Lipschitz 条件. 相似文献
4.
林清泉 《数学物理学报(A辑)》2004,4(5):589-596
作者讨论非Lipschitz条件下g 上鞅的非线性Doob Meyer 分解. 为此讨论一类漂移系数g(s,·,·)关于(y,z)不满足Lipschitz条
件的倒向随机微分方程解的存在唯一性,运用Biharis不等式证明了一类倒向随机微分方程的比较定理以及g 上解的极限定理. 相似文献
5.
本文研究如下形式的无穷维空间的倒向半线性随机发展方程在系数f(t,x,y,),g(t,x)满足一类非Lipschitz条件下得到了方程局部与整体适应解的存在唯-性. 相似文献
6.
研究了一类广义Lienard方程 x=φ(y),y=-f(x)φ(y)-g(x)式中φ,F,g:R→R连续且保证系统初值解惟一,给出零解全局渐近稳定性条件,并讨论极限环的存在性. 相似文献
7.
建立了关于一维倒向随机微分方程(简写为BSDE)的一个存在唯一性结果,其中BSDE的生成元g关于y满足Constantin条件,关于z是一致连续的.这改进了一些已知结果. 相似文献
8.
9.
利用拓扑度理论和上下解方法讨论了一类三阶微分方程组{x′′′(t)+f1(t,y(t),x′(t),x″(t))=0,0≤t≤1,y′′′(t)+f2(t,x(t),y′(t),y″(t))=0,0≤t≤1在适当的条件下解的存在性. 相似文献
10.
在生成元g满足关于y单调且关于z Lipschitz连续的条件下,范(2007)得到了倒向随机微分方程L~p解对终值的单调连续结果.在g关于y单调且关于z一致连续的条件下证明了倒向随机微分方程L~p解的单调连续性,推广了范(2007)的工作,并且方法是新的. 相似文献
11.
冉启康 《纯粹数学与应用数学》2010,26(1):56-63
讨论了一类由Levy过程趋动的带连续下障碍的反射倒向随机微分方程.使用罚函数方法,证明了在Lipschitz条件下解的存在唯一性. 相似文献
12.
13.
Fan Sheng-Jun Wu Zhu-Wu Zhu Kai-Yong 《Journal of Applied Mathematics and Computing》2007,24(1-2):427-435
The existence theorem and continuous dependence property in ”L2” sense for solutions of backward stochastic differential equation (shortly BSDE) with Lipschitz coefficients were respectively established by Pardoux-Peng and Peng in [1,2], Mao and Cao generalized the Pardoux-Peng’s existence and uniqueness theorem to BSDE with non-Lipschitz coefficients in [3,4]. The present paper generalizes the Peng’s continuous dependence property in ”L2” sense to BSDE with Mao and Cao’s conditions. Furthermore, this paper investigates the continuous dependence property in “almost surely” sense for BSDE with Mao and Cao’s conditions, based on the comparison with the classical mathematical expectation. 相似文献
14.
Lin Qingquan 《高校应用数学学报(英文版)》2000,15(3):289-296
In this paper the existence and uniqueness of the smallest g-supersolution for BSDE is discussed in the case without Lipschitz condition imposing on both constraint function and drift
coefficient in the different method from the one with Lipschitz condition. Then by considering (ξ, g) as a parameter of BSDE, and (ξ
α, g
α) as a class of parameters for BSDE, where α belongs to a set
, for every
there exists a pair of solution {Y
a, Za} for the BSDE, the properties of
which is also a solution for some BSDE is studied. This result may be used to discuss optimal problems with recursive utility.
This work was supported by NSFC (79790130) 相似文献
15.
Mingyu Xu 《Journal of Theoretical Probability》2007,20(4):1005-1039
In this paper, we prove the existence and uniqueness result of the reflected BSDE with two continuous barriers under monotonicity
and general increasing condition on y, with Lipschitz condition on z. 相似文献
16.
This paper is devoted to real valued backward stochastic differential equations (BSDEs for short) with generators which satisfy a stochastic Lipschitz condition involving BMO martingales. This framework arises naturally when looking at the BSDE satisfied by the gradient of the solution to a BSDE with quadratic growth in Z. We first prove an existence and uniqueness result from which we deduce the differentiability with respect to parameters of solutions to quadratic BSDEs. Finally, we apply these results to prove the existence and uniqueness of a mild solution to a parabolic partial differential equation in Hilbert space with nonlinearity having quadratic growth in the gradient of the solution. 相似文献
17.
In this paper, we discuss the solvability of backward stochastic differential equations (BSDEs) with superquadratic generators. We first prove that given a superquadratic generator, there exists a bounded terminal value, such that the associated BSDE does not admit any bounded solution. On the other hand, we prove that if the superquadratic BSDE admits a bounded solution, then there exist infinitely many bounded solutions for this BSDE. Finally, we prove the existence of a solution for Markovian BSDEs where the terminal value is a bounded continuous function of a forward stochastic differential equation. 相似文献
18.
Jacek Tabor 《Results in Mathematics》1997,32(1-2):133-144
Let G be an amenable metric semigroup with nonempty center, let E be a reflexive Banach space, and let ?: G → E be a given function. By C?: G × G → E we understand the Cauchy difference of the function /, i.e.: $$ {\cal C}f(x,y):=f(x+y)- f(x)- f(y)\ {\rm for}\ x,y\in G. $$ We prove that if the function C(f) is Lipschitz then there exists an additive function A: G → E such that f ? A is Lipschitz with the same constant. Analogous result for Jensen equation is also proved. As a corollary we obtain the stability of the Cauchy and Jensen equations in the Lipschitz norms. 相似文献