| 带跳倒向随机微分方程最小g-上解 |
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| 引用本文： | 林清泉,杨丰.带跳倒向随机微分方程最小g-上解[J].应用概率统计,2007,23(2):123-132. |
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| 作者姓名： | 林清泉 杨丰 |
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| 作者单位： | 中国人民大学财政金融学院,北京,100872 |
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| 基金项目： | This work was supported by Renmin University of China research fund. |
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| 摘 要： | 对带跳和一个右连左极的增过程作为惩罚项的倒向随机微分方程定义$g$\,-上解, 并得到极限定理, 作为其应用, 在变量$(y,z,q)$受限条件下, 讨论该方程的最小$g$\,-上解存在唯一性.
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| 关 键 词： | 倒向随机微分方程 $g$\ 受限条件 |
| 收稿时间： | 2002-08-19 |
| 修稿时间： | 2002-08-192006-03-30 |
The Smallest $g$-Supersolution for BSDE with Jumps |
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| LIN QINGQUAN,YANG FENG.The Smallest $g$-Supersolution for BSDE with Jumps[J].Chinese Journal of Applied Probability and Statisties,2007,23(2):123-132. |
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| Authors: | LIN QINGQUAN YANG FENG |
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| Institution: | School of Finance, Renmin University of China, Beijing, 100872 |
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| Abstract: | For Backward Stochastic Differential Equation with jumps and an increasing predictable RCLL process as its penalization term,we have defined g-supersolution for such a BSDE and obtained the limit theorem.As an application of the limit theorem,the existence and uniqueness of the smallest supersolution for BSDE with jumps and constraints on(Y,Z,q)is proved. |
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| Keywords: | Backward stochastic differential equation g-supersolution constraint |
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