平面中随机微分方程解的绝对极大值的矩估计  

ESTIMATE ON MOMENTS OF ABSOLUTE MAXIMUM OF THE SOLUTIONS TO STOCHASTIC DIFFERENTIAL EQUATIONS IN THE PLANE

作　　者：聂赞坎[1] 

机构地区：[1]西安交通大学

出　　处：《应用数学学报》1990年第4期409-414,共6页Acta Mathematicae Applicatae Sinica

摘　　要：1.记号和预备 设D带有通常半序,Rz表示矩形[0,z],（Ω,?,P）是完备概率空间,?的子σ域族{?z}z∈D满足通常条件（F1）-（F4）,关于双参数鞅,弱鞅和强鞅等概念参看[2],[3].设M=（Mz）z∈D是鞅,实数p>1,若z∈D,E|Mz|p<∞。Let M, A be the 2-parameter continuous square integrable strong martingale and continuousadapted increasing process on,D=[0,∞)×[0,∞)respectively, and X_0 be a random variable,consider the following stochastic differential equationX_Z=X_0+α.A_X+b.M_Z,the existence and uniqueness of solution to which is discussed in [1]. Estimates on moments ofthe absolute maximum of X_Z are given in this paper.

关 键 词：随机微分方程 绝对极大值 矩估计 

分 类 号：O211.63[理学—概率论与数理统计]