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非Lipscihtz条件下双重倒向随机微分方程的适应解和比较定理

Adapted Solutions of Backward Doubly Stochastic Differential Equations with Non-Lipschitz Conditions and Comparison Theorem
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摘要 在非Lipschitz条件下,通过构造Picard逼近序列,研究了一类由Kunita-Ito积分驱动的双重倒向随机微分方程解的存在唯一性,从而弱化了方程解的存在唯一性条件,并且在此非Lipschitz条件下,进一步讨论了方程解的性质,也就是方程解的比较定理。 We derive the existence and uniqueness of solutions to backward doubly stochastic differential equations driven by Kunita-Ito^ integral with non-Lipschitz conditions by Picard sequence,so it relaxes the conditions of existence and uniqueness of equation.Furthermore,we discuss the property of solution of the equation,i.e.,comparison theorem of the equation.
作者 段鹏举 张祖峰
机构地区 宿州学院数学系 宿州学院智能信息处理实验室
出处 《宿州学院学报》 2011年第5期5-9,52,共6页 Journal of Suzhou University
基金 安徽省高等学校优秀青年人才基金项目(2010SQRL195) 安徽省教育厅自然科学研究项目(KJ2011B176) 安徽省教育厅教学研究项目(20101071) 宿州学院智能信息处理实验室开放课题(2010YKF11)
关键词 双重倒向随机微分方程 GRONWALL不等式 存在唯一性 backward doubly stochastic differential equation gronwall inequality existence and uniqueness
分类号 O211.6 [理学—概率论与数理统计]
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参考文献17

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二级参考文献13

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宿州学院学报
2011年 第5期

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