摘要
彭实戈[1]首先建立了一维倒向随机微分方程的比较定理,本文在Lipschitz条件下研究由连续半鞅驱动的倒向随机微分方程,我们将比较定理推广到此类倒向随机微分方程,并且证明方法比彭实戈[1]的更加直接和简单.
Comparison theorem for solutions of one-dimensional backward stochastic equa- tion （BSDE for short） was first established by Peng [1]. In this paper, we study the BSDEs drivenby continuous semi-martingale satisfying Lipschitz condition. We generalize the comparison theo- rem to this case and prove it by using techniques which are different from those of Peng [1]. Our method is more direct and simpler.
出处
《数学杂志》
CSCD
北大核心
2014年第1期7-11,共5页
Journal of Mathematics
基金
Supported by National Natural Science Foundation of China(51104069)
关键词
倒向随机微分方程
比较定理
连续半鞅
backward stochastic differential equations
comparison theorem
continuoussemi-martingale
