一类倒向随机微分方程的比较定理

A Comparison Theorem for Backward Stochastic Differential Equations

倒向随机微分方程(BSDE)的比较定理是BSDE理论的基本定理,本文在漂移系数满足一类非Lipschitz条件下利用停时证明了倒向随机微分方程的比较定理,结果可以得到广泛的应用。

The comparison theorem of BSDE is the basic theorem of the backward stochastic differential equation（BSDE）theory.In this paper,the comparison theorem of the BSDE is proved by means of stopping time when the draft coefficient satisfies non-Lipschitz assumptions.The result can be more extensively used.