分数布朗运动驱动的倒向随机微分方程的L^p解（英文）  

L^p Solutions of Backward Stochastic Differential Equations Driven by Fractional Brownian Motions

作　　者：林琳[1] 李庚[2] 

机构地区：[1]南京师范大学数学科学学院,江苏南京210023 [2]复旦大学数学科学学院,上海200433

出　　处：《南京师大学报（自然科学版）》2015年第4期14-21,共8页Journal of Nanjing Normal University(Natural Science Edition)

基　　金：Supported by the NSF of the Jiangsu Higher Education Committee of China(14KJB110016)

摘　　要：分数次布朗运动驱动的倒向随机微分方程在金融数学、偏微分方程等领域有广泛应用.本文通过局部化方法以及推广的Ito公式,考虑了在一定条件下,分数布朗运动驱动的倒向随机微分方程中的L^p估计.Recently, backward stochastic differential equations driven by fractional Brownian motion play an important role in mathematical finance, partial differential equations and other fields. In our paper, by the localization method and the generalized Ito formula, we consider the L^p（p ≥2） solutions of backward stochastic differential equations driven by fractional Brownian motions under reasonable assumptions.

关 键 词：倒向随机微分方程 分数次布朗运动 L^p(p≥2)解 局部化方法 

分 类 号：O211.63[理学—概率论与数理统计]