Osgood条件下G-Brown驱动的倒向随机微分方程  

Backward Stochastic Differential Equations with Generators of Osgood Type Driven by G-Brownian Motion

作　　者：张伟[1] 江龙 ZHANG Wei;JIANG Long(Xuhai College,China University of Mining and Technology,Xuzhou 221008,Jiangsu,China;School of Mathematics,China University of Mining and Technology,Xuzhou 221116,Jiangsu,China)

机构地区：[1]中国矿业大学徐海学院,江苏徐州221008 [2]中国矿业大学数学学院,江苏徐州221116

出　　处：《数学年刊（A辑）》2020年第3期309-324,共16页Chinese Annals of Mathematics

基　　金：中央大学基础研究专项基金(No.2017XKZD11)的资助

摘　　要：在生成元关于变量y满足Osgood条件、关于变量z满足Lipschitz条件下,建立了G-Brown运动驱动的倒向随机微分方程的解的存在唯一性定理.In this paper,the authors study the following backward stochastic differential equation driven by G-Brownian motion Y_t=ξ+∫_t^T f(s,Y_s,Z_s)ds+∫_t^T g(s,Y_s,Z_s)d_s-∫_t^T Z_sdB_s-(K_T-K_t),whose generators satisfy Osgood condition in y and Lipschitz continuous in z.An existence and uniqeness theorem for this kind of G-BSDE is established.

关 键 词：G-BSDE G-Brown运动 Osgood条件 逐次逼近法 

分 类 号：O211.6[理学—概率论与数理统计]