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无穷水平倒向双重随机微分方程解的比较定理 被引量：1

Comparison theorem of the infinite horizon backward doubly stochastic differential equations
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摘要 利用Gronwall不等式和It公式,对终端为无穷时间的倒向双重随机微分方程,证明了一维情形下的方程解的比较定理. By using the Gronwall＇s inequality and Ito formula, the comparison theorem is proved for the solutions of the infinite horizon backward doubly stochastic differential equations.
作者 甄鑫 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 2008年第4期451-456,共6页 Basic Sciences Journal of Textile Universities
关键词 倒向双重随要微分方程 无穷水平 比较定理 backward doubly stochastic differential equations infinite horizon comparison theorem
分类号 O211.63 [理学—概率论与数理统计]
  • 相关文献

参考文献9

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  • 3陈增敬.带有停时的倒向随机方程解的存在性[J].科学通报,1997,42(22):2379-2382. 被引量：8
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  • 8HAN Baoyan,SHI Yufeng, ZHU Bo. Backward doubly stochastic differential equations with non-lipschitz coeffcients [J]. Stoch Anal Appl,2005,23(1) : 1-11.
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二级参考文献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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共引文献10

同被引文献8

  • 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
  • 2PARDOUX E, PENG S. Adapted Solution of a Backward Stochastic Differential Equantion [ J ]. Syst Control Lett, 1990,14: 55- 61.
  • 3MAO X. Adapted Solutions of Backward Stochastic Differential Equations with No-Lipschitz Coffcients [ 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 ]. Probability Theory and Related Fields, 1994, 98: 209 - 227.
  • 5NUALART D, PARDOUX E. Stochastic Calculus with Anticipating Integrand [ J ]. Probability Theory and Related Fields, 1988,78:535 - 581.
  • 6SHI Y F, GUY L, LIU K. Comparison Theorem of Backward Doubly Stochastic Differential Equations and Applications[J]. Stoch Anal Appl, 2005,23(1): 97- 110.
  • 7HAN B Y, SHI Y F, ZHU B. Backward Doubly Stochastic Differential Equations with Non-Lipschitz Coefficients [J ]. Stoch Anal Appl,2005,23(1): 1 - 11.
  • 8陈增敬.带有停时的倒向随机方程解的存在性[J].科学通报,1997,42(22):2379-2382. 被引量：8

引证文献1

纺织高校基础科学学报
2008年 第4期

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