摘要
推广了无穷时间水平带跳倒向随机微分方程(BSDE)解的比较定理,并用这种带跳BSDE定义了g_鞅与g_上鞅,证明了g_上鞅的上穿不等式。
The comparison theorem for solutions of infinite time interval BSDEs with jumps is improved and the notions of g_martingale and g_supermartingale via the BSDE with jumps are introduced. Then the Upcrossing Inequality for g_supermartingale is obtained.
出处
《中山大学学报(自然科学版)》
CAS
CSCD
北大核心
2003年第5期1-5,共5页
Acta Scientiarum Naturalium Universitatis Sunyatseni
基金
国家自然科学基金重大资助项目(79790130)