| 无界停时终端非李氏系数带跳倒向随机微分方程的解及拟线性椭圆型偏微分积分方程解的概率表示 |
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| 引用本文： | 司徒荣,王越平.无界停时终端非李氏系数带跳倒向随机微分方程的解及拟线性椭圆型偏微分积分方程解的概率表示[J].应用数学和力学,2000,21(6):597-609. |
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| 作者姓名： | 司徒荣 王越平 |
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| 作者单位： | 中山大学数学系, 广州 510275 |
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| 基金项目： | 国家自然科学基金!资助项目 (79790 130 )，中山大学前沿项目基金 |
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| 摘 要： | 对终端为无界停时的带跳倒向随机微分方程,在非李氏条件下证得了解的存在唯一性.推导出这类方程解的若干收敛定理与解对参数的连续依赖性,还得到了关于拟线性随圆型偏微分积分方程解的概率表示.
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| 关 键 词： | 带跳倒向随机微分方程 无界停时 适应解 解的收敛性 拟线性椭圆型方程 偏微分积分算子 |
| 收稿时间： | 1999-04-15 |
On Solutions of Backward Stochastic Differential Equations With Jumps, With Unbounded Stopping Times as Terminal and With Non-Lipschitz Coefficients,and Probabilistic Interpretation of Quasi-Linear Elliptic Type Integro-Differential Equations |
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| Situ Rong,Wang Yueping.On Solutions of Backward Stochastic Differential Equations With Jumps, With Unbounded Stopping Times as Terminal and With Non-Lipschitz Coefficients,and Probabilistic Interpretation of Quasi-Linear Elliptic Type Integro-Differential Equations[J].Applied Mathematics and Mechanics,2000,21(6):597-609. |
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| Authors: | Situ Rong Wang Yueping |
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| Institution: | Department of Mathematics, Zhongshan University, Guangzhou 510275, P R China |
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| Abstract: | The existence and uniqueness of solutions to backward stochastic differential equations with jumps and with unbounded stopping time as terminal under the non_Lipschitz condition are obtained. The convergence of solutions and the continuous dependence of solutions on parameters are also derived. Then the probabilistic interpretation of solutions to some kinds of quasi_linear elliptic type integro~differential equations is obtained. |
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| Keywords: | backward stochastic differential equations(BSDEs) with jumps unbounded stopping time adapted solutions convergence of solutions quasi_linear elliptic equations integro_defferential operators |
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