|
|||||
|
|
| 非Lipschitz条件下由Lévy过程驱动的倒向随机微分方程解的存在唯一及其稳定性 | |
| 引用本文： | 任永,胡兰英,夏宁茂.非Lipschitz条件下由Lévy过程驱动的倒向随机微分方程解的存在唯一及其稳定性[J].应用数学,2007,20(2). |
| 作者姓名： | 任永 胡兰英 夏宁茂 |
| 作者单位： | 1. 安徽师范大学数学系,安徽,芜湖,241000;华东理工大学数学系,上海,200237 2. 安徽师范大学数学系,安徽,芜湖,241000 3. 华东理工大学数学系,上海,200237 |
| 基金项目： | 教育部重点科技计划项目;安徽省教育厅自然科学基金;安徽师范大学校科研和教改项目 |
| 摘 要： | 本文研究了由满足某种矩条件下Lévy过程相应的Teugel鞅及与之独立的布朗运动驱动的倒向随机微分方程,给出了飘逸系数满足非Lipschitz条件下解的存在唯一及稳定性结论.解的存在性是通过Picard迭代法给出的.解的L2收敛性是在飘逸系数弱于L2收敛意义下所得到的. |
| 关 键 词： | 倒向随机微分方程 Lévy过程 Teugel鞅 Lévy process |
Existence, Uniqueness and Stability of Solutions for BSDE Driven by Lévy Processes under Non-Lipschitz Condition |
|
| REN Yong,HU Lan-ying,XIA Ning-mao.Existence, Uniqueness and Stability of Solutions for BSDE Driven by Lévy Processes under Non-Lipschitz Condition[J].Mathematica Applicata,2007,20(2). | |
| Authors: | REN Yong HU Lan-ying XIA Ning-mao |
| Abstract: | We deal with backward stochastic differential equations (BSDEs in short) driven by independent Brownian motion. We derive the existence, uniqueness and stability of solutions for these equations under non-Lipschitz condition on the coefficients. And the existence of the solutions is obtained by a Picard-type iteration. The strong L2 convergence of solutions is derived under a weaker condition than the strong L2 convergence on the coefficients. |
| Keywords: | Backward stochastic differential equation Teugel's martingale |
| 本文献已被 CNKI 万方数据 等数据库收录！ | |