| 单调性条件下G-Brown运动驱动的倒向随机微分方程 |
| |
| 引用本文： | 宋阳.单调性条件下G-Brown运动驱动的倒向随机微分方程[J].数学年刊A辑(中文版),2019,40(2):177-198. |
| |
| 作者姓名： | 宋阳 |
| |
| 作者单位： | 复旦大学数学科学学院, 上海 200433. |
| |
| 基金项目： | 国家自然科学基金(No.11631004);上海市领军人才培养计划(No.14XD1400400)的资助 |
| |
| 摘 要： | 研究了由G-Brown运动驱动的倒向随机微分方程■解的存在唯一性问题.其生成元f关于z是Lipschitz连续的,关于y是线性增长且满足单调性条件.
|
| 关 键 词： | G-Brown运动 倒向随机微分方程 单调性条件 |
| 收稿时间： | 2016/10/19 0:00:00 |
| 修稿时间： | 2018/7/14 0:00:00 |
Backward Stochastic Differential Equations Driven by G-Brownian Motion Under a Monotonicity Condition |
| |
| SONG Yang.Backward Stochastic Differential Equations Driven by G-Brownian Motion Under a Monotonicity Condition[J].Chinese Annals of Mathematics,2019,40(2):177-198. |
| |
| Authors: | SONG Yang |
| |
| Institution: | School of Mathematical Sciences, Fudan University, Shanghai 200433, China. |
| |
| Abstract: | In this paper, the solution of backward stochastic differential equations
driven by a $G${-}Brownian motion ($G$-BSDE for short):
$$
Y_{t}=\xi+\int_{t}^{T}f(s, Y_{s}, Z_{s})\rmd s-\int_{t}^{T}Z_{s}\rmd B_{s}-(K_{T}-K_{t}), \quad0\leq t\leq T
$$
is studied, with a generator which is Lipschitz in $Z$, uniformly
continuous with linear growth and satisfying a monotonicity condition
in $Y$. |
| |
| Keywords: | G-Brownian motion Backward SDEs Monotonicity condition |
| 本文献已被 CNKI 维普 等数据库收录！ |
| 点击此处可从《数学年刊A辑(中文版)》浏览原始摘要信息 |
| 点击此处可从《数学年刊A辑(中文版)》下载免费的PDF全文 |
