非Lipschitz条件下的包含下微分算子的带跳倒向随机微分方程(英文)

BSDE WITH JUMPS INVOLVING A SUBDIFFERENTIAL OPERATOR WITH NON-LIPSCHITZ COEFFICIENT

本文在非Lipschitz系数下,考虑了一类多值的倒向随机微分方程.利用极大单调算子的Yosida估计和倒向随机微分方程在非Lipschitz条件下解的存在唯一性,获得了多值带跳的倒向随机微分方存在唯一解的结论.

In this paper, a class of multivalued backward stochastic differential equaitons （MBSDE for short） with non-Lipschitz coefficient is studied. By using a penalization argument based on the Yosida approximation and the existence and uniqueness of solutions to backward stochastic differential equations with jumps under non-Lipschitz condition, we prove the equation has a unique solution.