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多维双重倒向随机微分方程比较定理 被引量：3

Comparision theorem for multi-dimensional backward doubly stochastic differential equations
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摘要 利用Gronwall不等式和It公式,证明了在系数非Lipschitz连续的条件下,多维双重倒向随机微分方程解的比较定理. By using the Gronwall inequality and Itoe formula,the comparison theorem was proved for the solutions of the multi-idmensional backward doubly stochastic differential equations under non-Lipschitz condition.
作者 卢英 孙晓君
机构地区 东华大学理学院
出处 《纺织高校基础科学学报》 CAS 2006年第4期313-317,共5页 Basic Sciences Journal of Textile Universities
关键词 双重倒向随机微分方程 比较定理 GRONWALL不等式 backward doubly stochastic differential equations comparison theorem Gronwall inequality
分类号 O211.63 [理学—概率论与数理统计]
  • 相关文献

参考文献12

  • 1PARDOUX E,PENG S. Adapted solution of a backward stochastic differential equation[J]. System and Control Letters, 1990,14 : 55-61.
  • 2MAO Xuerong. Adapted solutions of backward stochastic differential equations with rton-Lipschitz coefficients[J]. Stochastic Processes and Their Ap-plieations, 1995,58 : 281-292.
  • 3彭实戈.倒向随机微分方程及其应用[J].数学进展,1997,26(2):97-112. 被引量：72
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  • 7HAO Baoyan,SHI Yueng, ZHU Bo. Backward doubly stochastic differential equations with non-Lipschitz coefficients[J]. Stoch Anal Appl,2005,23(1) : 1-11.
  • 8PARdOUX E, PENG S. Backward doubly stochastic differential equations and syswtems of quasilinear parabolic SPdEs[J]. Probab Theory Related Fields, 1994,98 : 209-227.
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二级参考文献33

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共引文献142

同被引文献24

  • 1PARDOUX E, PENG S. Adapted solution of a backward stochastic differential equantion[J]. Systems and Control Letters, 1990,14:55-61.
  • 2MAO X. Adapted solutions of backward stochastic differential equations with no-Lipschitz eoffcients[J]. Stochastic Process and their Applications, 1995,58 :281-292.
  • 3PARDOUX E, PENG S. Backward doubly stochastic differential equations and systems of quasilinear SPDEs[J]. Probab Theory Relat Fields, 1994,98:209-227.
  • 4NUALART D, PARDOUX E. Stochastic calculus with anticipating integrand[J]. Probability Theory and Related, 1988,78: 535-581.
  • 5SHI Y,GU Y,LIU K. Comparison theorem of backward doubly stochastic differential equations and applications[J]. Stoch Anal Appl,2005,23(1) :97-110.
  • 6HAN Baoyan,SHI Yufeng, ZHU Bo. Backward doubly stochastic differential equations with non-lipschitz coeffcients [J]. Stoch Anal Appl,2005,23(1) : 1-11.
  • 7PARDOUX E, PENG S. Adapted Solution of a Backward Stochastic Differential Equantion [ J ]. Syst Control Lett, 1990,14: 55- 61.
  • 8MAO X. Adapted Solutions of Backward Stochastic Differential Equations with No-Lipschitz Coffcients [ J ]. Stochastic Process and Their Applications, 1995, 58: 281 - 292.
  • 9PARDOUX E, PENG S. Backward Doubly Stochastic Differential Equations and Systems of Quasilinear SPDEs [J ]. Probability Theory and Related Fields, 1994, 98: 209 - 227.
  • 10NUALART D, PARDOUX E. Stochastic Calculus with Anticipating Integrand [ J ]. Probability Theory and Related Fields, 1988,78:535 - 581.

引证文献3

二级引证文献4

纺织高校基础科学学报
2006年 第4期

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