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由Lévy过程驱动的双重反射型倒向随机微分方程（英文）
  • ISSN号：1001-9847
  • 期刊名称：《应用数学》
  • 时间：0
  • 分类：O211.63[理学—概率论与数理统计;理学—数学]
  • 作者机构：[1]安徽师范大学数学系,安徽芜湖241000
  • 相关基金：Supported in part by NNSFC（10901003）; the Research Project of Natural Science Foundation of Anhui Provincial University（KJZ010B345） ; the Grant for Youth of Anhui Normal University （2009XQN56）
作者： 范锡良[1], 任永[1]
关键词： 反射型倒向随机微分方程, Teugels鞅, LéVY过程, Snell包络, Mokobodski假设, Reflected backward stochastic differential equation, Teugels martingale, Lévy process, Snell envelope, Mokobodski＇s hypothesis
中文摘要：

证明了由Lévy过程驱动的双重反射型倒向随机微分方程解的存在唯一性.主要方法是Snell包络和不动点定理.

英文摘要：

In this paper,we mainly prove the existence and uniqueness of a solution to doubly reflected backward stochastic differential equation driven by a Lévy process.Main method is Snell envelope and the fixed point theorem.

同期刊论文项目
由Lévy过程驱动的几类倒向随机微分方程研究
期刊论文 42
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期刊信息
  • 《应用数学》
  • 北大核心期刊（2011版）
  • 主管单位:国家教育部
  • 主办单位:华中科技大学
  • 主编：李大潜
  • 地址：武汉珞喻路1037号华中科技大学逸夫科技大楼南楼902室
  • 邮编：430074
  • 邮箱：yysx_hust@163.com
  • 电话：027-87543831
  • 国际标准刊号：ISSN：1001-9847
  • 国内统一刊号：ISSN：42-1184/O1
  • 邮发代号:38-61
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  • 被引量:4139