由Lévy过程驱动的倒向双重随机微分方程的比较定理及其应用  

Comparison Theorem of Backward Doubly Stochastic Differential Equations Driven by Lévy Processes and Application

作　　者：范锡良[1] 

机构地区：[1]安徽师范大学数学系,芜湖241000

出　　处：《应用数学学报》2009年第4期705-716,共12页Acta Mathematicae Applicatae Sinica

摘　　要：本文研究了由Lévy过程和与之独立的布朗运动驱动的倒向双重随机微分方程,给出了相应的比较定理。作为比较定理的一个应用,文章证明了由Lévy过程驱动的倒向双重随机微分方程在其系数满足连续线性增长条件下解的存在性,并得到该方程的最小解。We deal with backward doubly stochastic differential equations（BDSDEs for short） driven by Lévy processes and an independent Brownian motion.We show a comparison theorem for these equations.As one of its application,we prove the existence of a solution for BDSDE driven by Lévy processes where the coefficient is continuous with linear growth.We also obtain the existence of a minimal solution.

关 键 词：倒向双重随机微分方程 LÉVY过程 Teugels鞅 比较定理 

分 类 号：O211.63[理学—概率论与数理统计]