摘要
建立具有可积参数和有限或无限时间终端的多维倒向随机微分方程(BSDEs)解的一个存在唯一性结果,其中生成元g关于y和z均满足对t不一致的Lipschitz连续条件.通过建立解的先验估计证明解的唯一性,然后通过Picard迭代证明解的存在性.
We established an existence and uniqueness result for L1 solutions to multidimensional backward stochastic differential equations （BSDEs） with only integrable parameters and a finite or an infinite time interval, where the generator g is Lipschitz continuous in both y and z non-uniformly with respect to t. By a prior estimate we proved the uniqueness part. And by Picard＇s iteration we obtained the existence of solutions.
出处
《应用数学》
CSCD
北大核心
2012年第4期777-784,共8页
Mathematica Applicata
基金
Supported by the National Natural Science Foundation of China (10971220,11101422)
the Fundamental Research Funds for the Central Universities (2010LKSX04,JK111729)
关键词
倒向随机微分方程
可积参数
LIPSCHITZ连续
存在唯一性
Backward stochastic differential equation
Integrable parameter
Lipschi-tz continuous
Existence and uniqueness
