研究倒向重随机微分方程,在生成元f关于(y,z)连续且线性增长、生成元g关于(y,z)满足Mao的非Lipschitz条件下,得到了其最小解存在定理.推广了倒向重随机微分方程在随机控制和数理金融等方面的应用.
This paper aims to investigate the uniqueness of minimal solution of Backward Doubly Stochastic Differential Equations,where the generator fis continuous and has a linear growth in(y,z),and the generator gsatisfies Mao's non-Lipschitz condition in(y,z).The research results can be applied in stochastic controls and mathematical finance.