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RBSDE's with jumps and the related obstacle problems for integral-partial differential equations
作者姓名:FAN Yulian School of Mathematical Sciences  Peking University  Beijing  China
作者单位:FAN Yulian School of Mathematical Sciences,Peking University,Beijing 100871,China
摘    要:The author proves, when the noise is driven by a Brownian motion and an independent Poisson random measure, the one-dimensional reflected backward stochastic differential equation with a stopping time terminal has a unique solution. And in a Markovian framework, the solution can provide a probabilistic interpretation for the obstacle problem for the integral-partial differential equation.


RBSDE's with jumps and the related obstacle problems for integral-partial differential equations
FAN Yulian School of Mathematical Sciences,Peking University,Beijing ,China.RBSDE''''s with jumps and the related obstacle problems for integral-partial differential equations[J].Science in China(Mathematics),2006,49(4).
Authors:FAN Yulian
Abstract:The author proves, when the noise is driven by a Brownian motion and an independent Poisson random measure, the one-dimensional reflected backward stochastic differential equation with a stopping time terminal has a unique solution. And in a Markovian framework, the solution can provide a probabilistic interpretation for the obstacle problem for the integral-partial differential equation.
Keywords:reflected backward stochastic differential equation  obstacle problem for the integral-partial differential equation  viscosity solution
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