二维斜反射倒向随机微分方程与反射非线性抛物型偏微分方程组(英文)  

Two-dimensional BSDE's with Oblique Reflection and Systems of Reflected PDE's of Nonlinear Parabolic Type

作　　者：徐俊[1] 

机构地区：[1]复旦大学数学科学学院,上海200433

出　　处：《复旦学报（自然科学版）》2010年第4期459-467,共9页Journal of Fudan University：Natural Science

基　　金：supported by Basic Research Program of China(973 Program) Grant(2007 CB814904);NSFC Grant (10325101);Science Foundation of the Ministry of Education of China Grant(200900071110001)

摘　　要：给出了二维斜反射倒向随机微分方程解的新构造方法.在这个新的斜反射倒向随机微分方程表达形式基础上,进一步用反射倒向随机微分方程的解给出了相应的反射非线性抛物型偏微分方程组解的概率表示.A new method is given to construct the unique solution of a two-dimensional BSDE with oblique reflection. The results are used to give a probabilistic interpretation of the unique solution of a system of reflected nonlinear PDE＇s.

关 键 词：倒向随机微分方程 斜反射 反射非线性抛物型偏微分方程组 

分 类 号：O23[理学—运筹学与控制论]