| 正倒向随机微分方程的适应解及其比较定理(英文) |
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| 引用本文： | 周圣武.正倒向随机微分方程的适应解及其比较定理(英文)[J].大学数学,2002,18(5):7-11. |
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| 作者姓名： | 周圣武 |
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| 作者单位： | 中国矿业大学,理学院,徐州,221008 |
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| 摘 要： | 研究了一类正倒向随机微分方程的适应解 ,其中正向方程不需要满足非退化条件 .我们证明了在某些单调条件下 ,正倒向随机微分方程存在唯一的适应解 ,并给出了该正倒向随机微分方程的比较定理 .
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| 关 键 词： | 适应解 正倒向随机微分方程 Brown运动 比较定理. |
Adapted Solution of Forward-Backward Stochastic Differential Equations and Their Comparison Theorem |
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| Abstract.Adapted Solution of Forward-Backward Stochastic Differential Equations and Their Comparison Theorem[J].College Mathematics,2002,18(5):7-11. |
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| Authors: | Abstract |
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| Abstract: | In this paper, we investigate the nature of the adapted solution to a class of forward-backward stochastic differential equations (short for FBSDE) without the non-degenerate condition for the forward equation. We prove that under certain "monotonicity" condition there exists a unique adapted solution for the FBSDE, and we derive the comparison theorem for this FBSDE. |
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| Keywords: | adapted solution forward-backward stochastic differential equations Brownian motion comparison theorem |
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