摘要
本文研究了由分数布朗运动驱动的不同扩散和漂移系数随机微分方程.利用随机微分方程广义样本解的方法,得到了两个比较定理.进一步,给出了他们的应用和一个最优逼近策略.
In this article, we study stochastic differential equations （SDEs） with different drift and diffusion coefficients which are driven by fractional Brownian motions. By using the generalized sample solutions of SDEs, two comparison theorems are obtained, moreover, we give their applications and propose an asymptotic optimal strategy.
出处
《数学杂志》
CSCD
北大核心
2014年第5期875-883,共9页
Journal of Mathematics
基金
Supported by the National Natural Science Foundation of China(11061032)
Science and Technology Research Projects of Hubei Provincial Department of Education(Q20132505
Q20122203)
the Innovation Team of DDS(T201412)
关键词
随机微分方程
广义样本解
比较定理
分数布朗运动
最优策略
stochastic differential equation
generalized sample solution
comparison theorein
fractional Brownian motion
optimal strategy
