摘要
本文研究了如下倒向随机微分方程Yt =ξ + ∫Ttf(s,Ys,Zs)ds+ ∫TtB(ds,g(s,Ys,Zs) ) - ∫TtZsdWs ,在类似于Yamada条件下 ,得到了它解的存在唯一性定理 ,推广了AnisMatoussi和MichaelScheutzow相关结果 .
In this paper,we consider the following Backward doubly stochastic differential equations:Y t=ξ+∫T tf(s,Y s,Z s)ds+∫T tB(ds,g(s,Y s,Z s))-∫T tZ sdW s.We establish it's existence and uniqueness theorem under similar to Yamada condition,generalize Anis Matoussi and Michael Scheutzow's result,extend applications of BSDE in stochastic controls and mathematical finance.
出处
《应用数学》
CSCD
北大核心
2004年第1期95-103,共9页
Mathematica Applicata
基金
国家自然科学基金 (70 0 71 0 1 1 )
