| 倒向随机微分方程解的比较定理 |
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| 引用本文： | 曹志刚 严加安. 倒向随机微分方程解的比较定理[J]. 数学进展, 1999, 28(4): 304-308 |
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| 作者姓名： | 曹志刚 严加安 |
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| 作者单位： | [1]中国人民大学信息学院 [2]中国科学院系统所 |
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| 摘 要： | 毛学荣新近将彭实戈和Ｐａｒｄｏｕｘ关于倒向随机策分方程解的存在性定理推广到非Ｌｉｐｓｃｈｉｔｚ系数情景，此文将彭实戈的比较定理推广到这一情形，主要工具是Ｔａｎａｋａ－Ｍｅｙｅｒ公式，Ｄａｖｉｓ不等式和Ｂｉｈａｒｉ不等式。
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| 关 键 词： | 随机微分方程 比较定理 局部时 解 T－M不等式 |
A Comparison Theorem for Solutions of Backward Stochastic Differential Equations |
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| Cao Zhigang. A Comparison Theorem for Solutions of Backward Stochastic Differential Equations[J]. Advances in Mathematics(China), 1999, 28(4): 304-308 |
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| Authors: | Cao Zhigang |
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| Abstract: | The existence theorem for solutions of BSDE's and a comparison theorem for solutions of one-dimensional BSDE's were established by Pardoux-Peng[3] and PengI4] respectively. Ma.[2] has generalized the existence theorem to the case of non-Lipschitzian coefficients. The present paper generalizes Peng's comparison theorem to that case. The main tools are the Tanaka-Meyer formula,Davis' inequality and Bihari's inequality. |
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| Keywords: | backward stochastic differential equation Bihari's inequality comparison theroem local time Tanaka-Meyer formula |
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