期刊文献+
任意字段
题名或关键词
题名
关键词
文摘
作者
第一作者
机构
刊名
分类号
参考文献
作者简介
基金资助
栏目信息

正向多维带跳随机微分方程比较定理

On the comparison theorem for multi-dimensional stochastic differential equations with jumps
原文传递
导出
摘要 本文研究了高维及矩阵值带跳随机微分方程,给出其比较定理成立的一个充分必要条件. In this paper,we give a necessary and sufficient condition under which the comparison theorem holds for multi-dimensional stochastic differential equations（SDEs） with jumps and for matrix-valued SDEs with jumps.
作者 朱学红
机构地区 南京航空航天大学理学院数学系
出处 《中国科学：数学》 CSCD 北大核心 2012年第4期303-311,共9页 Scientia Sinica：Mathematica
基金 国家自然科学基金(批准号:11101209) 数学天元基金(批准号:11126050)资助项目
关键词 生存性质 粘性解 比较定理 vibility property viscosity solution 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

  • 1吴臻,消华.MULTI-DIMENSIONAL REFLECTED BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS AND THE COMPARISON THEOREM[J].Acta Mathematica Scientia,2010,30(5):1819-1836. 被引量：5
  • 2Ikeda N,Watanabe S.A comparison theorem for solutions of stochastic differential equations and its applications[].Osaka Journal of Mathematics.1977
  • 3Yamada T.On comparison theorem for solutions of stochastic differential equations and its applications[].Journal of Mathematics of Kyoto University.1973
  • 4Wu Z,Xu M.Comparison theorems for forward backward SDEs[].Statistics and Probability Letters.2009
  • 5Peng S,Zhu X.Necessary and sufficient condition for comparison theorem of1-dimensional stochastic diffrential equations[].Stochastic Processes and Their Applications.2006
  • 6Hu Y,Peng S.On the comparison theorem for multidimensional BSDEs[].Comptes Rendus de l Académie des Sciences.2006
  • 7Gal’?uk,L. I.,Davis,M. H. A.A note on a comparison theorem for equations with different diffusions[].Stochastics.1982
  • 8Geiβ C,,Manthey R.Comparison theorems for stochastic differential equations in finite and infinite di- mensions[].Stochastic Processes and Their Applications.1994
  • 9Shi Ge PENG,Xue Hong ZHU.The Viability Property of Controlled Jump Diffusion Processes[J].Acta Mathematica Sinica,English Series,2008,24(8):1351-1368. 被引量：2

二级参考文献15

  • 1Aubin, J. P., Da prato, G.: Stochastic Viability and Invariance. Ann. Scu. Norm. di Pisa, 27, 595-694 (1990)
  • 2Gautier, S., Thibault, L.: Viability for constrained stochastic differential equations. Differ. Integ. Eq., 6, 1394-1414 (1993)
  • 3Buckdahn, R., Peng, S., Quincampoix, M., Rainer, C.: Existence of stochastic control under state con- straints. C. R. Acad. Sci. Paris Set. I t., 327, 17-22 (1999)
  • 4Fujiwara, T., Kunita, H.: Stochastic differential equations of Jump type and L~vy processes in diffeomorphism group. J. Math. Kyoto Univ., 25(1), 71-106 (1989)
  • 5Gihman, I., Skorohod, A. V.: Stochastic Differential Equations, Berlin, Springer Verlag, 1972
  • 6Pham, H.: Optimal Stopping of controlled jump diffusion processes:a viscosity solution approach, Journal of Math.: system estimate and control. 8(1), 1-27 (1998)
  • 7Soner, H. M.: Optimal control of Jump-Mavkov Processes and Viscosity Solutions, 501-511 in Stochastic Differential Systems, Stochastic Control Theory and Applications(W.H. Fleming and P.L. Lions.eds). IMA Math. Appl. vol 10, Springer, Berlin, 1988
  • 8Sayah, A.: Equations d'Hamilton-Jacobi du premier ordre avec termes integro-differentiels: pattie I: Unicite des solutions de viscosite; partie II: Existence des solutions de viscosite. Comm. in Partial Diff. Eq., 16(6 and 7), 1057-1093 (1991)
  • 9Barles, G., Buckdahn, R., Pardoux, E.: BSDE's and integral-partial differential equations, Application to finance, 1995
  • 10Crandall, M. G., Lions, P. L.: Viscosity solutions of Hamilton-Jacobi equations. Trans. A. M. S., 277, 1-42 (1983)

共引文献5

中国科学：数学
2012年 第4期

相关作者

内容加载中请稍等...

相关机构

内容加载中请稍等...

相关主题

内容加载中请稍等...

浏览历史

内容加载中请稍等...
;
使用帮助 返回顶部