The authors prove the existence and uniqueness of smallest g-supersolution with an equality constrains on (y, z) for one demensional stochastic differential equations whose drift coefficients are continuous and linear...The authors prove the existence and uniqueness of smallest g-supersolution with an equality constrains on (y, z) for one demensional stochastic differential equations whose drift coefficients are continuous and linearly growing, and whose terminal conditions are square integrable.展开更多
Under the Lipschitz assumption and square integrable assumption on g, the author proves that Jensen＇s inequality holds for backward stochastic differential equations with generator g if and only if g is independent o...Under the Lipschitz assumption and square integrable assumption on g, the author proves that Jensen＇s inequality holds for backward stochastic differential equations with generator g if and only if g is independent of y, g（t, 0）≡ 0 and g is super homogeneous with respect to z. This result generalizes the known results on Jensen＇s inequality for gexpectation in [4, 7-9].展开更多
By studying the spectrum of the underlying operator corresponding to the exhaustive-service M/G/1 queueing model with single vacations we prove that the time-dependent solution of the model strongly converges to its s...By studying the spectrum of the underlying operator corresponding to the exhaustive-service M/G/1 queueing model with single vacations we prove that the time-dependent solution of the model strongly converges to its steady-state solution.展开更多
基金the National Natural Science Foundation of China!(No.79790130)
文摘The authors prove the existence and uniqueness of smallest g-supersolution with an equality constrains on (y, z) for one demensional stochastic differential equations whose drift coefficients are continuous and linearly growing, and whose terminal conditions are square integrable.
基金Project supported by the National Natural Science Foundation of China (No.10325101)the Science Foundation of China University of Mining and Technology.
文摘Under the Lipschitz assumption and square integrable assumption on g, the author proves that Jensen＇s inequality holds for backward stochastic differential equations with generator g if and only if g is independent of y, g（t, 0）≡ 0 and g is super homogeneous with respect to z. This result generalizes the known results on Jensen＇s inequality for gexpectation in [4, 7-9].
基金supported by National Natural Science Foundation of China (GrantNo. 10861011)
文摘By studying the spectrum of the underlying operator corresponding to the exhaustive-service M/G/1 queueing model with single vacations we prove that the time-dependent solution of the model strongly converges to its steady-state solution.
