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| 由分数布朗运动驱动的随机微分方程的比较定理及其应用 | |
| 引用本文： | 姜国,李必文. 由分数布朗运动驱动的随机微分方程的比较定理及其应用[J]. 数学杂志, 2014, 34(5): 875-883 |
| 作者姓名： | 姜国 李必文 |
| 作者单位： | 湖北师范学院数学与统计学院; |
| 基金项目： | Supported by the National Natural Science Foundation of China(11061032);Science and Technology Research Projects of Hubei Provincial Department of Education(Q20132505;Q20122203);the Innovation Team of DDS(T201412) |
| 摘 要： | 本文研究了由分数布朗运动驱动的不同扩散和漂移系数随机微分方程.利用随机微分方程广义样本解的方法,得到了两个比较定理.进一步,给出了他们的应用和一个最优逼近策略. |
| 关 键 词： | 随机微分方程 广义样本解 比较定理 分数布朗运动 最优策略 |
| 收稿时间： | 2013-06-12 |
| 修稿时间： | 2013-09-29 |
COMPARISON THEOREM AND ITS APPLICATIONS FOR SDES DRIVEN BY FRACTIONAL BROWNIAN MOTIONS |
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| JIANG Guo and LI Bi-wen. COMPARISON THEOREM AND ITS APPLICATIONS FOR SDES DRIVEN BY FRACTIONAL BROWNIAN MOTIONS[J]. Journal of Mathematics, 2014, 34(5): 875-883 | |
| Authors: | JIANG Guo and LI Bi-wen |
| Affiliation: | School of Mathematics and statistics, Hubei Normal University, Huangshi 435002, China and School of Mathematics and statistics, Hubei Normal University, Huangshi 435002, China |
| Abstract: | In this article, we study stochastic differential equations (SDEs) with different drift and diffusion coefficients which are driven by fractional Brownian motions. By using the generalized sample solutions of SDEs, two comparison theorems are obtained. moreover, we give their applications and propose an asymptotic optimal strategy. |
| Keywords: | stochastic differential equation generalized sample solution comparison theorem fractional Brownian motion optimal strategy |
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