| 带跳的耦合正倒向随机微分方程 |
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| 引用本文： | 叶锦春. 带跳的耦合正倒向随机微分方程[J]. 数学年刊A辑(中文版), 2002, 0(6) |
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| 作者姓名： | 叶锦春 |
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| 作者单位： | 复旦大学数学研究所 上海 |
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| 基金项目： | 国家教育部博士点基金(No.79790130)资助的项目. |
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| 摘 要： | 本文对带跳的耦合正倒向随机微分方程引入了“桥”的概念,证明了如果两个带跳的耦合正倒向随机微分方程被桥连接着,那么它们有相同的唯一可解性.在此基础上,通过桥的构造,得到一些带跳的正倒向随机微分方程的唯一可解性.
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| 关 键 词： | 耦合正倒向随机微分方程 桥 适应解 |
COUPLED FORWARD-BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS WITH RANDOM JUMPS |
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| YE JinchunInstitute of Mathmatics Fudan University,Shanghai ,China.. COUPLED FORWARD-BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS WITH RANDOM JUMPS[J]. Chinese Annals of Mathematics, 2002, 0(6) |
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| Authors: | YE JinchunInstitute of Mathmatics Fudan University Shanghai China. |
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| Affiliation: | YE JinchunInstitute of Mathmatics Fudan University,Shanghai 200433,China. |
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| Abstract: | The notion of bridge is introduced for systems of coupled forward-backward stochastic differential equations with random jumps (JFBSDEs for short). It is proved that if two JF-BSDEs are linked by a bridge, then they have the same unique solvability. Consequently,by constructing appropriate bridges, we obtain several classes of uniquely solvable are obtained. |
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| Keywords: | Coupled forward-backward stochastic differential eqations Bridge Adapted solution |
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