| ON SOLUTIONS OF BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS WITH JUMPS, WITH UNBOUNDED STOPPING TIMES AS TERMINAL AND WITH NON-LIPSCHITZ COEFFICIENTS, AND PROBABILISTIC INTERPRETATION OF QUASI-LINEAR ELLIPTIC TYPE INTEGRO- DIFFERENTIAL EQUATIO |
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| 引用本文： | 司徒荣,王越平. ON SOLUTIONS OF BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS WITH JUMPS, WITH UNBOUNDED STOPPING TIMES AS TERMINAL AND WITH NON-LIPSCHITZ COEFFICIENTS, AND PROBABILISTIC INTERPRETATION OF QUASI-LINEAR ELLIPTIC TYPE INTEGRO- DIFFERENTIAL EQUATIO[J]. 应用数学和力学(英文版), 2000, 0(6) |
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| 作者姓名： | 司徒荣 王越平 |
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| 作者单位： | Situ Rong，Wang Yueping (Department of Mathematics，Zhongshan University，Guangzhou 510275，P R China)(Communicated by Chien Weizang) |
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| 基金项目： | theNationalNaturalScienceFoundationofChina( 79790 13 0 )，theFoundationofZhongshanUniversityFrontResearch |
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| 摘 要： | Ｉｔ’ｓｗｅｌｌ＿ｋｎｏｗｎｔｈａｔｔｈｅｓｏｌｕｔｉｏｎｓｏｆｂａｃｋｗａｒｄｓｔｏｃｈａｓｔｉｃｄｉｆｆｅｒｅｎｔｉａｌｅｑｕａｔｉｏｎｓ(ＢＳＤＥｓ)ｐｌａｙａｎｉｍｐｏｒｔａｎｔｒｏｌｅｉｎｔｈｅｆｉｎａｎｃｉａｌｍａｒｋｅｔ(ＳｅｅＲｅｆ.[1]).ＷｉｔｈｕｎｂｏｕｎｄｅｄｓｔｏｐｐｉｎｇｔｉｍｅｓτａｓｔｅｒｍｉｎａｌｓｕｎｄｅｒｔｈｅＬｉｐｓｃｈｉｔｚｃｏｎｄｉｔｉｏｎｓａｎｄｃｏｎｄｉｔｉｏｎｔｈａｔｔｅｒｍｉｎａｌｓｓａｔｉｓｆｙＥ｜ξ｜2ｅＫ(τ∧Ｔ)≤ｃ0<∞,0≤Ｔ<∞ｏｒξ=0,Ｒｅｆｓ…
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ON SOLUTIONS OF BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS WITH JUMPS, WITH UNBOUNDED STOPPING TIMES AS TERMINAL AND WITH NON-LIPSCHITZ COEFFICIENTS, AND PROBABILISTIC INTERPRETATION OF QUASI-LINEAR ELLIPTIC TYPE INTEGRO- DIFFERENTIAL |
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| Situ Rong,Wang Yueping. ON SOLUTIONS OF BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS WITH JUMPS, WITH UNBOUNDED STOPPING TIMES AS TERMINAL AND WITH NON-LIPSCHITZ COEFFICIENTS, AND PROBABILISTIC INTERPRETATION OF QUASI-LINEAR ELLIPTIC TYPE INTEGRO- DIFFERENTIAL[J]. Applied Mathematics and Mechanics(English Edition), 2000, 0(6) |
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| Authors: | Situ Rong Wang Yueping |
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| Abstract: | The existence and uniqueness of solutions to backward stochastic differential equations with jumps and with unbounded stopping time as terminal under the non_Lipschitz condition are obtained. The convergence of solutions and the continuous dependence of solutions on parameters are also derived. Then the probabilistic interpretation of solutions to some kinds of quasi_linear elliptic type integro_differential equations is obtained. |
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| Keywords: | backward stochastic differential equations(BSDEs) with jumps unbounded stopping time adapted solutions convergence of solutions quasi_linear elliptic equations integro_differential operators. |
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