由Lévy过程驱动的双重反射型倒向随机微分方程(英文)  

Doubly Reflected Backward Stochastic Differential Equation Driven by a Lévy Process

作　　者：范锡良[1] 任永[1] 

机构地区：[1]安徽师范大学数学系,安徽芜湖241000

出　　处：《应用数学》2010年第3期474-481,共8页Mathematica Applicata

基　　金：Supported in part by NNSFC(10901003);the Research Project of Natural Science Foundation of Anhui Provincial University(KJZ010B345) ;the Grant for Youth of Anhui Normal University (2009XQN56)

摘　　要：证明了由Lévy过程驱动的双重反射型倒向随机微分方程解的存在唯一性.主要方法是Snell包络和不动点定理.In this paper,we mainly prove the existence and uniqueness of a solution to doubly reflected backward stochastic differential equation driven by a Lévy process.Main method is Snell envelope and the fixed point theorem.

关 键 词：反射型倒向随机微分方程 Teugels鞅 LÉVY过程 Snell包络 Mokobodski假设 

分 类 号：O211.63[理学—概率论与数理统计]