非Lipschitz条件下的倒向随机微分方程的g-上解的极限定理

The limitation theorem of g-supersolution for BSDEs under non-Lipschitzian coefficient

讨论了非Lipschitz条件下倒向随机微分方程的g-上解的极限定理.得到了一类漂移系数g(s,.,.)关于(y,z)不满足Lipschitz条件的倒向随机微分方程解的存在惟一性,并证明了一类倒向随机微分方程的比较定理.

A limitation theorem of g-supersolution for BSDEs under non-Lipschitzian coefficient is proved. In order to get the result, the existence and uniqueness of the solution for a class of BSDEs with the same drift coefficient g are investigated, and the comparison theorem is obtained.