非Lipschitz条件下倒向随机微分方程的比较定理

The comparison theorem of bachward stochastic differential equations under non-Lipschitz condition

讨论了一类漂移系数f(s,.,.)关于(y,z)不满足Lipschitz条件的倒向随机微分方程解的存在唯一性,利用Jensen不等式、Gronwall不等式以及常微分方程的比较定理给出并证明了此类倒向随机微分方程的比较定理.

The authors discuss the existence and uniqueness of solution for a class bachward sochastic differential eguations with non-Lipschitz condition on f, the comparison theorem of this kind equation is also proved by means of Jensen＇s inequality, Gronwall＇s inequalitty and the comparison theorem of ordinar differentiod egations.