具有Osgood型生成元的多维倒向重随机微分方程

Multidimensional backward doubly stochastic differential equations with generators of Osgood type

研究了一类多维倒向重随机微分方程,其生成元f关于y满足Osgood条件,且生成元g关于y满足一类新的非Lipschitz条件。建立了该类方程的一个解的存在唯一性定理和一个稳定性定理,并给出了该类方程在一维情形下解的比较定理。

A class of multidimensional backward doubly stochastic differential equations whose generator f satisfies the Osgood condition in y and generator g satisfies non-Lipschitz condition in y was studied. An existence and uniqueness theorem and a stability theorem of solutions for this kind of equations were established, and a comparison theorem for solution of the class of one-dimensional situation was proposed.