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非Lipschitz条件下的带跳的倒向随机微分方程 被引量:3

Backward stochastic differential equations with jumps under non-Lipschitz condition
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摘要 证明了带跳的倒向随机微分方程在某种非Lipschitz条件下的适应解的存在唯一性 ; It is proved that a new theorem on the existence and uniqueness of the adapted solution to Backward Stochastic Differential Equations with Brownian Motion and Poisson Processes under a weaker condition than one Lipschitz one;we also obtain the Comparison Theorem to one kind of Backward Stochastic Differential Equations with jumps.
作者 李娟
出处 《山东大学学报(理学版)》 CAS CSCD 北大核心 2003年第3期10-14,共5页 Journal of Shandong University(Natural Science)
基金 国家自然科学青年基金资助项目 (10 0 0 10 2 2 ) 教育部高校博士点基金资助
关键词 带跳的倒向随机微分方程 随机测度 泊松过程 backward stochastic differential equations with jumps random measure poisson process
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参考文献7

  • 1E Pardoux, S Peng. Adapted Solution of a Backward Stochastic Differential Equation[ A]. Systems and Corarol Letters[ C], 1990, 14:55 -61.
  • 2Xuerong Mao. Adapted Solutions of BSDE with non-Lipschitz coefficients[J]. Stochastic processes and their Applications, 1955, 58:281 - 292.
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同被引文献22

  • 1任永,秦衍.非Lipschitz条件下倒向随机微分方程解的稳定性[J].山东大学学报(理学版),2006,41(6):32-35. 被引量:1
  • 2[1]Pardoux E.Peng S.Adapted solution of a backward stochastic differential equation[J].Systems Control Letters,1990,14(1):55~61.
  • 3[2]Mao X.Adapted solution of backward stochastic differential equations with non-Lipschitz coefficients[J].Stoch.Proc.Appl.,1995,58(2):281~292.
  • 4[3]Tang S,Li X.Necessary Condition for Optimal Control of Stochastic Systems with Random Jumps[J].Siam J.Control Optim.,1994,32(6):1447~1475.
  • 5[4]Wu Z.Forward-Backward Stochastic Differential Equations with B.M and Poisson Process[J].Actamathematicae Applicatae Sinica,1999,15(4):433~443.
  • 6朱波,韩宝燕,石玉峰.一类非Lipschitz条件下带跳的倒向随机微分方程[J].山东师范大学学报,2005,21(4):1-3.
  • 7[6]Barles G,Buckdahn R,Pardoux E.BSDE's and Integral-Partial Differential Equations[J].Stochastics,1997,60(1):57~83.
  • 8Pardoux E,Peng S.Adapted solution of a backward stochastic differential equation[J].System and Control Letters,1990,14:55-61.
  • 9El Karoui N,Peng S,Quenez M C.Backward stochastic differential equation sand applications to optimal control[J].Mathematical Finance,1997,7:1-71.
  • 10Hu Y,Peng S.A stability theorem of backward stochastic differential equations and its applications[J].Paris:CRAS,serie Ⅰ,1997,324:1059-1064.

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