| On Solutions of BSDE with Two Barriers Under Non-Lipschitz Condition |
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| 作者姓名： | HU Lan-ying ZHU Yue-feng XIA Ning-mao REN Yong |
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| 作者单位： | 1.Department of Mathematics，Anhui Normal University，Wuhu 241000，China;2.College of Mechanical and Electronic，Kaifeng University，Kaifeng 475000，China;3.Department of Mathematics，East China University of Science and Technology，Shanghai 200237，China |
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| 基金项目： | Foundatlon item： Supported by the Key Science and Technology Project of Ministry of Education（207047）; Supported by the Special Project Grants of Anhui Normal University（2006xzx08）; Supported by the Project Grants for Younger Teachers of Anhui Normal University（2006xqn49）; Supported by NSF of Anhui Educational Bureau（KJ2007A012） |
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| 摘 要： | In this paper,we derive the existence and uniqueness theorem for the adapted solution to backward stochastic differential equations with two barriers under non-Lipschitz condition via penalization method.
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| 关 键 词： | 微分方程 随机性 屏障 压抑法 |
| 文章编号： | 1002-0462（2007）04-0538-12 |
| 收稿时间： | 2004-10-19 |
| 修稿时间： | 2004年10月19 |
On Solutions of BSDE with Two Barriers Under Non-Lipschitz Condition |
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| HU Lan-ying ZHU Yue-feng XIA Ning-mao REN Yong.On Solutions of BSDE with Two Barriers Under Non-Lipschitz Condition[J].Chinese Quarterly Journal of Mathematics,2007,22(4):538-549. |
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| Authors: | HU Lan-ying ZHU Yue-feng XIA Ning-mao REN Yong |
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| Institution: | HU Lan-ying~1 ZHU Yue-feng~2 XIA Ning-mao~3 REN Yong~1 |
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| Abstract: | In this paper,we derive the existence and uniqueness theorem for the adapted solution to backward stochastic differential equations with two barriers under non-Lipschitz condition via penalization method. |
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| Keywords: | backward stochastic differential euqation barrier penalization method |
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