由连续半鞅驱动的倒向随机微分方程  

ON BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONSDRIVEN BY A CONTINUOUS SEMI MARTINGALE

作　　者：王湘君[1] 

机构地区：[1]华中理工大学

出　　处：《数学杂志》1999年第1期45-50,共6页Journal of Mathematics

基　　金：国家自然科学基金

摘　　要：本文引出了连续半鞅驱动的倒向随机微分方程，定义并证明了此类方程解的存在性与唯一性．In this paper, we introduce the backward stochastic differential equations driven by a continuous semi martingale, define the existence and uniqueness of the solution of this kind of BSDEs and obtain the existence and uniqueness of the solution under Lipschitz condition.

关 键 词：连续半鞅 随机微分方程 解 存在性 唯一性 

分 类 号：O211.63[理学—概率论与数理统计]