非Lipschitz条件下半鞅随机微分方程解的唯一性(英文)  

UNIQUENESS OF SOLUTIONS TO SDES DRIVEN BY SEMIMARTINGALE WITH NON-LIPSCHITZ CONDITIONS

作　　者：费为银[1] 

机构地区：[1]安徽工程科技学院应用数学系,安徽芜湖241000

出　　处：《数学杂志》2010年第3期395-400,共6页Journal of Mathematics

基　　金：Supported by National Basic Research Program of China(973 Program;2007CB814901);National Natural Science Foundation of China(10826098);Anhui Natural Science Foundation (090416225)

摘　　要：本文研究了非Lipschitz条件下半鞅随机微分方程.利用It分析和Gronwall不等式,探讨了随机微分方程无爆炸解,并证明了随机微分方程解的唯一性.In this article,a class of stochastic differential equations（SDEs） driven by semi-martingale with non-Lipschitz coefficients is studied.By using Ito calculus and Gronwall inequality, no explosion on the solution of SDEs is investigated.A pathwise uniqueness of solutions is proved.

关 键 词：随机微分方程 GRONWALL引理 路径唯一性 非LIPSCHITZ条件 半鞅 

分 类 号：O211.63[理学—概率论与数理统计]