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带跳倒向双重随机微分方程解的存在惟一性 被引量：3

Existence and uniqueness of solutions of BDSDE with jumps
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摘要 研究了一类带Possion跳的倒向双重随机微分方程在非Lipschitz条件下解的存在惟一性.利用推广的It公式,结合Picard迭代方法和Gronwall不等式,证明了方程在非Lipschitz条件下解的存在惟一性,推广了Lipschitz条件下方程解存在惟一性的结论. The existence and uniqueness of the solution of Backward Doubly Stochastic Differential Equation （BDSDE） with Possion jumps in non-Lipschitz condition are studied. By using the generalized Itδ formula, com- bined with. Picard iterative sequence and Gronwall inequality, the existence and uniqueness of BDSDE solution in non-Lipschitz condition are proved, and the conclusion about the existence and uniqueness of the solution in Lip- schitz condition is generalized.
作者 颜爱 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 2007年第4期335-339,共5页 Basic Sciences Journal of Textile Universities
关键词 带跳倒向双重随机微分方程 Itδ公式 GRONWALL不等式 存在性 惟一性 Backward Doubly Stochastic Differential Equation with jumps Itδ formula Gronwall inequality existence uniqueness
分类号 O211.63 [理学—概率论与数理统计]
  • 相关文献

参考文献10

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二级参考文献23

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共引文献10

同被引文献22

  • 1卢英,孙晓君.多维双重倒向随机微分方程比较定理[J].纺织高校基础科学学报,2006,19(4):313-317. 被引量：3
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  • 3MAO X. Adapted solutions of backward stochastic differential equations with no-Lipschitz eoffcients[J]. Stochastic Process and their Applications, 1995,58 :281-292.
  • 4PARDOUX E, PENG S. Backward doubly stochastic differential equations and systems of quasilinear SPDEs[J]. Probab Theory Relat Fields, 1994,98:209-227.
  • 5NUALART D, PARDOUX E. Stochastic calculus with anticipating integrand[J]. Probability Theory and Related, 1988,78: 535-581.
  • 6SHI Y,GU Y,LIU K. Comparison theorem of backward doubly stochastic differential equations and applications[J]. Stoch Anal Appl,2005,23(1) :97-110.
  • 7HAN Baoyan,SHI Yufeng, ZHU Bo. Backward doubly stochastic differential equations with non-lipschitz coeffcients [J]. Stoch Anal Appl,2005,23(1) : 1-11.
  • 8Pardoux E,Peng S.Backward doubly stochastic differential equations and systems of quasilinear parabolic SPDE's[J].Probab Theory Relat Fields,1994,98(1):209-227.
  • 9Shi Y,Gu Y,Liu K.Comparison theorems of backward doubly stochastic differential equations and applications[J].Stochastic Analysis and Applications,2005,23(1):97-110.
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引证文献3

二级引证文献2

纺织高校基础科学学报
2007年 第4期

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