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| 由连续半鞅驱动的倒向随机微分方程解的比较定理 | |
| 引用本文： | 李师煜,李文学,高武军. 由连续半鞅驱动的倒向随机微分方程解的比较定理[J]. 数学杂志, 2014, 34(1): 7-11 |
| 作者姓名： | 李师煜 李文学 高武军 |
| 作者单位： | 江西理工大学理学院 |
| 基金项目： | Supported by National Natural Science Foundation of China(51104069) |
| 摘 要： | 彭实戈[1]首先建立了一维倒向随机微分方程的比较定理,本文在Lipschitz条件下研究由连续半鞅驱动的倒向随机微分方程,我们将比较定理推广到此类倒向随机微分方程,并且证明方法比彭实戈[1]的更加直接和简单. |
| 关 键 词： | 倒向随机微分方程 比较定理 连续半鞅 |
| 收稿时间： | 2012-09-01 |
| 修稿时间： | 2013-03-04 |
COMPARISON THEOREM FOR SOLUTIONS OF BSDES DRIVEN BY CONTINUOUS SEMI-MARTINGALES |
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| LI Shi-yu,LI Wen-xue and GAO Wu-jun. COMPARISON THEOREM FOR SOLUTIONS OF BSDES DRIVEN BY CONTINUOUS SEMI-MARTINGALES[J]. Journal of Mathematics, 2014, 34(1): 7-11 | |
| Authors: | LI Shi-yu LI Wen-xue GAO Wu-jun |
| Affiliation: | LI Shi-yu;LI Wen-xue;GAO Wu-jun;Faculty of Science,Jiangxi University of Science and Technology; |
| Abstract: | Comparison theorem for solutions of one-dimensional backward stochastic equation (BSDE for short) was first established by Peng [1]. In this paper, we study the BSDEs driven by continuous semi-martingale satisfying Lipschitz condition. We generalize the comparison theorem to this case and prove it by using techniques which are different from those of Peng [1]. Our method is more direct and simpler. |
| Keywords: | backward stochastic differential equations comparison theorem continuous semi-martingale |
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