带跳和右连左极障碍的反射非Lipschitz倒向随机微分方程(英文）  

Reflected Non-Lipschitz Backward Stochastic Differential Equation With Jumps and RCLL Barrier

作　　者：赵辉艳[1] 

机构地区：[1]北京师范大学珠海分校应用数学学院,珠海广东519085

出　　处：《数学进展》2014年第1期118-132,共15页Advances in Mathematics（China）

基　　金：supported by an Young Teacher Research Program of BNUZ(No.201353051)

摘　　要：本文考虑一类由布朗运动和泊松点过程驱动的非Lipschitz系数的一维倒向随机微分方程,并要求它的解在一右连左极的障碍过程的上方.利用罚方法和迭代方法证得该类方程解的存在唯一性.In this paper, we consider one-dimensional reflected BSDE with a non-Lipschitz coefficient where the noise is driven by a Brownian motion and an independent Poisson point process, the solution is forced to stay above a right continuous left limits obstacle. We prove the existence and uniqueness of the solution by using a penalization method and an iterative method.

关 键 词：反射倒向随机微分方程 泊松点过程 非Lipschitz系数 比较定理 BIHARI不等式 

分 类 号：O211.63[理学—概率论与数理统计]