| 系数为左Lipschitz的倒向随机微分方程解的存在性 |
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| 引用本文： | 贾广岩.系数为左Lipschitz的倒向随机微分方程解的存在性[J].数学年刊A辑(中文版),2007(5). |
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| 作者姓名： | 贾广岩 |
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| 作者单位： | 山东大学数学与系统科学院 济南 |
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| 基金项目： | 国家自然科学基金(No．10671111)资助的项目 |
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| 摘 要： | 考虑一类一维倒向随机微分方程(BSDE),其系数关于y满足左Lipschitz条件(可能是不连续的),关于z满足Lipschitz条件.在这样的条件下,证明了BSDE的解是存在的,并且得到了相应的比较定理.
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| 关 键 词： | 倒向随机微分方程 适应解 比较定理 |
On Existence of Backward Stochastic Differential Equations with Left-Lipschitz Coefficient |
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| JIA Guangyan School of Mathematics and System Sciences,Shandong University,Jinan ,China..On Existence of Backward Stochastic Differential Equations with Left-Lipschitz Coefficient[J].Chinese Annals of Mathematics,2007(5). |
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| Authors: | JIA Guangyan School of Mathematics and System Sciences Shandong University Jinan China |
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| Institution: | JIA Guangyan* *School of Mathematics and System Sciences,Shandong University,Jinan 250100,China. |
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| Abstract: | This paper deals with one-dimensional backward stochastic differential equations (BSDEs)whose coefficient is left-hand Lipschitz(may be discontinuous)in y and Lipschitz in z,and proves,in this setting,the existence of the solution to backward stochastic differential equations.Also,the associated comparison theorem is obtained. |
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| Keywords: | Backward stochastic differential equation Adapted solution Comparison theorem |
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