| 多维带跳倒向双重随机微分方程解的性质 |
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| 引用本文： | 孙晓君,卢英.多维带跳倒向双重随机微分方程解的性质[J].应用概率统计,2008,24(1):73-82. |
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| 作者姓名： | 孙晓君 卢英 |
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| 作者单位： | 东华大学应用数学系,上海,200051 |
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| 摘 要： | 本文研究一类多维带跳倒向双重随机微分方程, 给出了It\^{o}公式在带跳倒向双重随机积分情形下的推广形式, 同时运用推广形式的It\^{o}公式, 在Lipschitz条件下证明了方程解的存在性和唯一性.
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| 关 键 词： | 带跳倒向双重随机微分方程 伊藤公式 存在性 唯一性. |
| 收稿时间： | 2006-05-10 |
| 修稿时间： | 2006-09-10 |
The Property for Solutions of the Multi-Dimensional Backward Doubly Stochastic Differential Equations with Jumps |
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| SUN XIAOJUN,LU YING.The Property for Solutions of the Multi-Dimensional Backward Doubly Stochastic Differential Equations with Jumps[J].Chinese Journal of Applied Probability and Statisties,2008,24(1):73-82. |
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| Authors: | SUN XIAOJUN LU YING |
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| Institution: | Department of Applied Mathematics, Donghua University |
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| Abstract: | A multi-dimensional backward doubly stochastic differential equations with jumps was studied. The extension of the Ito formula was given under backward doubly stochastic integral. By the extension of the Ito formula, the existence and uniqueness of the solutions were obtained under Lipschitz condition. |
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| Keywords: | Backward doubly stochastic differential equations with jump Ito formula existence uniqueness |
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