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A Class of Backward Doubly Stochastic Differential Equations with Discontinuous Coefficients 被引量：3

A Class of Backward Doubly Stochastic Differential Equations with Discontinuous Coefficients
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摘要 In this work the existence of solutions of one-dimensional backward doubly stochastic differential equations （BDSDEs） with coefficients left-Lipschitz in y （may be discontinuous） and Lipschitz in z is studied. Also, the associated comparison theorem is obtained. In this work the existence of solutions of one-dimensional backward doubly stochastic differential equations （BDSDEs） with coefficients left-Lipschitz in y （may be discontinuous） and Lipschitz in z is studied. Also, the associated comparison theorem is obtained.
作者 Qing-feng ZHU Yu-feng SHI
机构地区 School of Mathematic and Quantitative Economics Institute for Financial Studies and School of Mathematics School of Statistics
出处 《Acta Mathematicae Applicatae Sinica》 SCIE CSCD 2014年第4期965-976,共12页 应用数学学报（英文版）
基金 Supported by the National Natural Science Foundation of China(Nos.11371226,11071145,11301298,11201268 and 11231005) Foundation for Innovative Research Groups of National Natural Science Foundation of China(No.11221061) the 111 Project(No.B12023) Natural Science Foundation of Shandong Province of China(ZR2012AQ013)
关键词 backward doubly stochastic differential equations backward stochastic integral comparisontheorem backward doubly stochastic differential equations, backward stochastic integral, comparisontheorem
分类号 O211.63 [理学—概率论与数理统计] O241.82 [理学—计算数学]
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参考文献21

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同被引文献21

  • 1韩宝燕,邢培旭.非Lipschitz条件下的倒向重随机微分方程[J].河南师范大学学报（自然科学版）,2007,35(4):26-29. 被引量：2
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  • 5EI Karoui N, PENG S, Quenez M C. Backward stochastic differential equation in finance[J], Mathematical Finance, 1997,7:1-72.
  • 6FAN S, JIANG L, TIAN D. One-dimensional BSDEs with finite and infinite time horizons[J]. Stochastic Processes and their Applications, 2011, 121:427-440.
  • 7JIA G. A class of backward stochastic differential equations with discontinuous coefficients[J]. Statistics and Probability Letters, 2008, 78:231-237.
  • 8Pardoux E, PENG S. Backward doubly stochastic differential equations and systems of quasilinear SPDEs[J]. Probability Theory and Related Fields, 1994, 98(2):209-227.
  • 9SHI Y, GU Y, LIU K. Comparison theorem of backward doubly stochastic differential equations and applications[J]. Stochastic Analysis and Application, 2005, 23(1):1-14.
  • 10LIN Q. Backward doubly stochastic differential equations with weak assumptions on the coefficients[J]. Applied Mathematics and Computation, 2011, 217:9322-9333.

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Acta Mathematicae Applicatae Sinica
2014年 第4期

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