由连续半鞅驱动的倒向随机微分方程解的比较定理(英文)  

COMPARISON THEOREM FOR SOLUTIONS OF BSDES DRIVEN BY CONTINUOUS SEMI-MARTINGALES

作　　者：李师煜[1] 李文学[1] 高武军[1] 

机构地区：[1]江西理工大学理学院,江西赣州341000

出　　处：《数学杂志》2014年第1期7-11,共5页Journal of Mathematics

基　　金：Supported by National Natural Science Foundation of China(51104069)

摘　　要：彭实戈[1]首先建立了一维倒向随机微分方程的比较定理,本文在Lipschitz条件下研究由连续半鞅驱动的倒向随机微分方程,我们将比较定理推广到此类倒向随机微分方程,并且证明方法比彭实戈[1]的更加直接和简单.Comparison theorem for solutions of one-dimensional backward stochastic equa- tion （BSDE for short） was first established by Peng [1]. In this paper, we study the BSDEs drivenby continuous semi-martingale satisfying Lipschitz condition. We generalize the comparison theo- rem to this case and prove it by using techniques which are different from those of Peng [1]. Our method is more direct and simpler.

关 键 词：倒向随机微分方程 比较定理 连续半鞅 

分 类 号：O211.63[理学—概率论与数理统计]