不连续算子的单障碍反射重倒向随机微分方程(英文)  

Barrier Reflected Backward Doubly Stochastic Differential Equations With Discontinuous Generators

作　　者：李治[1] 罗交晚[2] 

机构地区：[1]长江大学信息与数学学院,荆州湖北434023 [2]广州大学数学与信息科学学院,广州广东510006

出　　处：《数学进展》2015年第1期128-140,共13页Advances in Mathematics（China）

基　　金：supported by NSFC(No.11271093);the Science Research Project of Hubei Provincial Department of Education(No.Q20141306);the Cultivation Project of Yangtze University for the NSF of China(No.2013cjp09)

摘　　要：本文研究一类不连续(左连续或右连续)算子的带连续单障碍的反射重倒向随机微分方程.通过建立一个新的比较定理,在弱的条件下获得一个最小解或最大解.进一步,获得一个一般化的比较定理,一些已有结果被改进和扩展.In this paper, we study one-dimensional reflected backward doubly stochastic differential equations(RBDSDEs) with one continuous barrier and discontinuous generator(left or right continuous). By establishing a new comparison theorem for RBDSDEs, we provide a minimal or a maximal solution to RBDSDEs under weaker hypotheses. Furthermore, we obtain a generalized comparison theorem. Some known results axe improved and extended.

关 键 词：反射重倒向随机微分方程 左连续算子 比较定理 

分 类 号：O211.63[理学—概率论与数理统计]