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非Lipschitz条件下的包含下微分算子的带跳倒向随机微分方程（英文）
  • ISSN号：0255-7797
  • 期刊名称：《数学杂志》
  • 时间：0
  • 分类：O211.6[理学—概率论与数理统计;理学—数学]
  • 作者机构：[1]中山大学数学与计算科学学院,广东广州510275
  • 相关基金：Supported by National Natural Science Foundation of China（10871215）
作者： 张孟[1]
关键词： 带跳的倒向随机微分方程, 非lipschitz, Yosida估计, 下微分算子, BSDE with jumps, non-Lipschitz, Yosida approximation, subdifferential operator
中文摘要：

本文在非Lipschitz系数下,考虑了一类多值的倒向随机微分方程.利用极大单调算子的Yosida估计和倒向随机微分方程在非Lipschitz条件下解的存在唯一性,获得了多值带跳的倒向随机微分方存在唯一解的结论.

英文摘要：

In this paper, a class of multivalued backward stochastic differential equaitons （MBSDE for short） with non-Lipschitz coefficient is studied. By using a penalization argument based on the Yosida approximation and the existence and uniqueness of solutions to backward stochastic differential equations with jumps under non-Lipschitz condition, we prove the equation has a unique solution.

同期刊论文项目
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期刊论文 24
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一类随机微分方程的轨道唯一性
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单调连续条件下多值正倒向随机微分方程解的存在性
期刊信息
  • 《数学杂志》
  • 北大核心期刊（2011版）
  • 主管单位:中华人民共和国教育部
  • 主办单位:武汉大学 湖北省数学学会 武汉数学学会
  • 主编：陈化
  • 地址：湖北武汉大学
  • 邮编：430072
  • 邮箱：jmath@whu.edu.cn
  • 电话：027-68754687
  • 国际标准刊号：ISSN：0255-7797
  • 国内统一刊号：ISSN：42-1163/O1
  • 邮发代号:38-71
  • 获奖情况:
  • 国内外数据库收录:
  • 俄罗斯文摘杂志,美国数学评论（网络版）,德国数学文摘,日本日本科学技术振兴机构数据库,中国中国科技核心期刊,中国北大核心期刊（2004版）,中国北大核心期刊（2008版）,中国北大核心期刊（2011版）,中国北大核心期刊（2014版）,中国北大核心期刊（2000版）
  • 被引量:3910