期刊文献+

一种新非Lipschitz条件下倒向随机微分方程的L<sup>2</sup>解

L<sup>2</sup> Solutions of BSDEs with a New Kind of Non-Lipschitz
下载PDF
导出
摘要 经典的倒向随机微分方程是由布朗运动驱动的,但布朗运动是一种非常特殊的随机过程,致使倒向随机微分方程的应用受到相当大的限制。本文研究了以连续局部鞅为干扰源的一维倒向随机微分方程,在生成元满足一种新非Lipschitz条件下,证明了其L2解存在且唯一。 The classical backward stochastic differential equation(BSDE)is driven by the Brownian motion,but Brownian motion is a very special stochastic process,so the application of backward stochastic differential equation is quite limited.In this paper,we are interested in solving one-dimensional backward stochastic differential equations(BSDEs)with a new kind of non-Lipschitz coefficients.We establish an existence and uniqueness result of solutions in L2.
出处 《应用数学进展》 2019年第8期1321-1326,共6页 Advances in Applied Mathematics
基金 国家自然科学基金资助项目(11561028,11801238) 江西省教育厅青年科学基金资助项目(GJJ170566,GJJ170567,GJJ170525) 江西理工大学大学生创新创业训练项目(DC2018-072) 江西理工大学本科教学工程项目(XZG-16-01-05)。
  • 相关文献

参考文献2

二级参考文献11

  • 1Bismut J M. An introductory approach to duality, optimal stochastic control[J]. SIAM Rev, 1978, 20: 62-78.
  • 2P ardoux E, Peng S. Adapted solution of a backward stochastic differential equation[ J]. Systems and Control Letters, 1990, 14: 55- 61.
  • 3Duffie D, Epstein L. Asset pricing with stochastic differential utility[J]. Rev Financial Stud, 1992b, 5: 411 -436.
  • 4Tang S, Li X. Necessary condition for optimal control of stochastic systems with random jumps[J]. SIAM J Control Optim, 1994, 32:1 447 - 1 475.
  • 5N El Karoui, Huang S J. A general result of existence and uniqueness of BSDE[J]. Pitman Research Notes in Mathematics, Series,1997, 27 - 36.
  • 6Xia J. Backward stochastic differential equation with random measures[J]. Acta Mathematicae Applicatae Sinica, 2000, 16:3.
  • 7He S, Wang J, Yan J. Semimartingale theory and stochastic calculus[M]. Beijing and Boca Raton: Science press and CRC press, 1992.
  • 8Ikeda N, Watanabe S. Stochastic differential equations and diffusion processes[M]. North Holland: Kodansha, 1981.
  • 9Peng S,Appl Math Optim,1993年,27卷,125页
  • 10E Pardoux,Syst Contr Lett,1990年,1455页

共引文献9

相关作者

内容加载中请稍等...

相关机构

内容加载中请稍等...

相关主题

内容加载中请稍等...

浏览历史

内容加载中请稍等...
;
使用帮助 返回顶部