| 由Levy过程驱动的倒向随机微分方程在局部Bihari条件下解的存在唯一性 |
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| 引用本文： | 林爱红,夏宁茂.由Levy过程驱动的倒向随机微分方程在局部Bihari条件下解的存在唯一性[J].数学理论与应用,2010(3):98-106. |
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| 作者姓名： | 林爱红 夏宁茂 |
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| 作者单位： | 华东理工大学数学系,上海200237 |
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| 摘 要： | 本文利用推广的Bihari不等式和截断函数，证明了由Levy过程驱动的倒向随机微分方程在局部Bihari条件下解的存在唯一性。我们先给出在某种较弱的条件下，方程在局部区间T0,T]，明上解的存在唯一性，然后加强条件，得到解的全局存在唯一性，从而推广了周和秦的结论。
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| 关 键 词： | Levy过程Teugele鞅 倒向随机微分方程 局部Bihari条件 存在唯一性 |
The Existence and Uniqueness of the Solution of BSDEs Driven by Levy Process with the Local Bihari Conditions |
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| Institution: | Lin Aihong Xia Ninmao (Department of Mathematics, East China University of Science and Technology, Shanghai, 200237) |
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| Abstract: | In this paper, by using the Bihari inequality and truncation functlon, we prove the existence and uniqueness of the solution of BSDEs driven by Levy process with some local Biharl conditions. We first prove the existence and uniqueness of the solution in the interval T0, T] with some weaker conditions, then enhance the conditions we can get the result in the full interval 0,T]. We generalize the results of Zhou and Qin. |
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| Keywords: | Levy process Teugele Martingale BSDEs Local Biharl condition Existence and uniqueness |
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