On Solutions of BSDE with Two Barriers Under Non-Lipschitz Condition

On Solutions of BSDE with Two Barriers Under Non-Lipschitz Condition

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摘要 In this paper, we derive the existence and uniqueness theorem for the adapted solution to backward stochastic differential equations with two barriers under non-Lipschitz condition via penalization method.

作者 HU Lan-ying ZHU Yue-feng XIA Ning-mao REN Yong

机构地区 Department of Mathematics College of Mechanical and Electronic Department of Mathematics

出处《Chinese Quarterly Journal of Mathematics》 CSCD 北大核心 2007年第4期538-549,共12页 数学季刊（英文版）

基金 Supported by the Key Science and Technology Project of Ministry of Education(207047) Supported by the Special Project Grants of Anhui Normal University(2006xzx08) Supported by the Project Grants for Younger Teachers of Anhui Normal University(2006xqn49) Supported by NSF of Anhui Educational Bureau(KJ2007A012)

关键词 backward stochastic differential euqation BARRIER penalization method 微分方程随机性屏障压抑法

分类号 O211.63 [理学—概率论与数理统计]

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参考文献8

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10华长春,关新平.Synchronization　of　chaotic　systems　based　on　adaptive　observer　design[J].Chinese Physics B,2004,13(9):1391-1395. 被引量：4

Chinese Quarterly Journal of Mathematics

2007年第4期

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On Solutions of BSDE with Two Barriers Under Non-Lipschitz Condition

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