| 随机脉冲随机微分方程解的存在唯一性 |
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| 引用本文： | 吴述金,韩东,付还宁.随机脉冲随机微分方程解的存在唯一性[J].数学学报,2008,51(6):1041-105. |
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| 作者姓名： | 吴述金 韩东 付还宁 |
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| 作者单位： | 上海市东川路500号华东师范大学统计系
;上海交通大学数学系;厦门集美大学数学系 |
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| 摘 要： | 提出了随机脉冲随机微分方程模型,其中所谓的随机脉冲是指脉冲幅度由随机变量序列驱动,并且脉冲发生的时间也是一个随机变量序列.因此,随机脉冲随机微分方程是对带跳的随机微分方程模型的推广.利用Gronwall不等式、Lipschtiz条件和随机分析技巧,得到了随机脉冲随机微分方程的解的存在唯一性条件.
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| 关 键 词： | 随机微分方程 随机脉冲 存在性 唯一性 |
| 收稿时间： | 2007-7-17 |
Existence and Uniqueness of Stochastic Differential Equations with Random Impulses |
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| Institution: | Department of Statistics and Actuarial Science, School of Finance and Statistics,\ East China Normal University Department of Mathematics, Shanghai Jiao Tong
University, Shanghai 200030, P. R. China |
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| Abstract: | In the paper,
stochastic differential equations with random impulses is first
brought forward, where the so-called random impulses mean that
impulse ranges are driven by some stochastic sequence and impulse
times are a sequence of random variables, so these equations
extend stochastic differential equations with jumps. Then
existence and uniqueness of solutions to such equations are
discussed by employing the Gronwall inequality, Lipschtiz
condition, and some techniques in stochastic analysis. |
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| Keywords: | stochastic differential equation random impulse existence umqueness |
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