非Lipschitz条件下的包含下微分算子的带跳倒向随机微分方程(英文)  

BSDE WITH JUMPS INVOLVING A SUBDIFFERENTIAL OPERATOR WITH NON-LIPSCHITZ COEFFICIENT

作　　者：张孟[1] 

机构地区：[1]中山大学数学与计算科学学院,广东广州510275

出　　处：《数学杂志》2012年第5期816-824,共9页Journal of Mathematics

基　　金：Supported by National Natural Science Foundation of China(10871215)

摘　　要：本文在非Lipschitz系数下,考虑了一类多值的倒向随机微分方程.利用极大单调算子的Yosida估计和倒向随机微分方程在非Lipschitz条件下解的存在唯一性,获得了多值带跳的倒向随机微分方存在唯一解的结论.In this paper, a class of multivalued backward stochastic differential equaitons （MBSDE for short） with non-Lipschitz coefficient is studied. By using a penalization argument based on the Yosida approximation and the existence and uniqueness of solutions to backward stochastic differential equations with jumps under non-Lipschitz condition, we prove the equation has a unique solution.

关 键 词：带跳的倒向随机微分方程 非lipschitz Yosida估计 下微分算子 

分 类 号：O211.6[理学—概率论与数理统计]