Lvy过程驱动的倒向随机微分方程生成元的表示定理

A Representation Theorem for Generators of BSDEs Driven By A Lvy Process

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摘要本文在适当的假设之下,建立了由一种Levy过程驱动的倒向随机微分方程生成元的表示定理,应用此表示定理,我们获得了此类倒向随机微分方程的逆比较定理. In this paper,a representation theorem for generators of backward stochastic differential equations（BSDEs for short） driven by a Levy process with moments of all orders is established,under some suitable conditions.As an application of this representation theorem,a converse comparison theorem of this kinds of BSDEs is obtained.

作者郑石秋李寿梅

机构地区北京工业大学应用数理学院华北理工大学理学院

出处《应用数学学报》 CSCD 北大核心 2015年第5期892-900,共9页 Acta Mathematicae Applicatae Sinica

基金国家自然科学基金(11171010) 北京市自然科学基金(1132008)资助项目

关键词倒向随机微分方程生成元的表示定理逆比较定理 LEVY过程 backward stochastic differential equation Levy process representation theorem converse comparison theorem

分类号 O211.6 [理学—概率论与数理统计]

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1冉启康.一类被Lévy过程趋动的反射BSDEs[J].纯粹数学与应用数学,2010,26(1):56-63.
2任晓艳,张春生.谱负Levy过程的三者联合密度函数与Gerber-Shiu折现罚金函数(英文)[J].天津师范大学学报（自然科学版）,2008,28(1):55-59.

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Lvy过程驱动的倒向随机微分方程生成元的表示定理

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