一类倒向随机微分方程L~p解对终值的单调连续性 |
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引用本文: | 马明,范胜君,宋星. 一类倒向随机微分方程L~p解对终值的单调连续性[J]. 数学的实践与认识, 2014, 0(5) |
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作者姓名: | 马明 范胜君 宋星 |
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作者单位: | 中国矿业大学理学院; |
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基金项目: | 国家自然科学基金(10971220);教育部全国优秀博士学位论文作者专项基金(200919);中央高校基础研究计划专项基金(2010LKSX04) |
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摘 要: | 在生成元g满足关于y单调且关于z Lipschitz连续的条件下,范(2007)得到了倒向随机微分方程L~p解对终值的单调连续结果.在g关于y单调且关于z一致连续的条件下证明了倒向随机微分方程L~p解的单调连续性,推广了范(2007)的工作,并且方法是新的.
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关 键 词: | 倒向随机微分方程 连续性 L~p解 存在唯一性 |
Monotonic Continuity Property on the L~P Solution of a Class of Backward Stochastic Differential Equations |
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Abstract: | Under the condition that the generator g is monotonic in y and Lipschitz continuous in z,Fan(2007) obtained a monotonic continuity result for L~p solutions of the backward stochastic differential equation(BSDE for short).In this paper,we prove a monotonic continuity property for L~p solutions of a class of BSDEs,where the generator g is monotonic in y and uniformly continuous in z.This generalizes the result in Fan(2007) and our method is new. |
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Keywords: | backward stochastic differential equation continuous property L~p solution existence and uniqueness |
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