由Lévy过程驱动的双重反射型倒向随机微分方程(英文)

Doubly Reflected Backward Stochastic Differential Equation Driven by a Lévy Process

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摘要证明了由Lévy过程驱动的双重反射型倒向随机微分方程解的存在唯一性.主要方法是Snell包络和不动点定理. In this paper,we mainly prove the existence and uniqueness of a solution to doubly reflected backward stochastic differential equation driven by a Lévy process.Main method is Snell envelope and the fixed point theorem.

作者范锡良任永

机构地区安徽师范大学数学系

出处《应用数学》 CSCD 北大核心 2010年第3期474-481,共8页 Mathematica Applicata

基金 Supported in part by NNSFC(10901003) the Research Project of Natural Science Foundation of Anhui Provincial University(KJZ010B345) the Grant for Youth of Anhui Normal University (2009XQN56)

关键词反射型倒向随机微分方程 Teugels鞅 LÉVY过程 Snell包络 Mokobodski假设 Reflected backward stochastic differential equation Teugels martingale Lévy process Snell envelope Mokobodski＇s hypothesis

分类号 O211.63 [理学—概率论与数理统计]

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由Lévy过程驱动的双重反射型倒向随机微分方程(英文)

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