摘要
毛学荣新近将彭实戈和Pardoux关于倒向随机微分方程解的存在性定理推广到非Lipschitz系数情景．此文将彭实戈的比较定理推广到这一情形．主要工具是Tanaka－Meer公式，Davis不等式和Bihari不等式．
The existence theorem for solutions of BSDE's and a comparison theorem for solutions of one-dimensional BSDE's were established by Pardoux-Peng[3] and PengI4] respectively. Ma.[2] has generalized the existence theorem to the case of non-Lipschitzian coefficients. The present paper generalizes Peng's comparison theorem to that case. The main tools are the Tanaka-Meyer formula,Davis' inequality and Bihari's inequality.
出处
《数学进展》
CSCD
北大核心
1999年第4期304-308,共5页
Advances in Mathematics（China）
关键词
随机微分方程
比较定理
局部时
解
T-M不等式
backward stochastic differential equation
Bihari's inequality
comparison theroem
local time
Tanaka-Meyer formula
