生成元连续且线性增长的反射倒向随机微分方程生成元的表示定理（英文）  

Representation Theorems for Generators of Reflected BSDEs with Continuous and Linear Growth Generators

作　　者：郑石秋[1,2] 李寿梅 ZHENG ShiQiu;LI ShouMei(College of Applied Sciences, Beijing University of Technology, Beijing, 100124, China;College of Sciences, North China University of Science and Technology, Tangshan, 063210, China)

机构地区：[1]北京工业大学应用数理学院,北京100124 [2]华北理工大学理学院,唐山063210

出　　处：《应用概率统计》2017年第6期551-566,共16页Chinese Journal of Applied Probability and Statistics

基　　金：supported by the National Natural Science Foundation of China(Grant No.11571024);the Natural Science Foundation of Beijing(Grant No.1132008);a program of Hebei Province(Grant No.QN2017116)

摘　　要：本文建立了一个生成元满足连续且线性增长条件的反射倒向随机微分方程生成元的局部表示定理,此定理推广了一些已有的倒向随机微分方程生成元的表示定理.应用此表示定理,本文获得了一个一般的反射倒向随机微分方程的逆比较定理,同时讨论了此类方程的一些性质.In this paper,we establish a local representation theorem for generators of reflected backward stochastic differential equations(RBSDEs),whose generators are continuous with linear growth.It generalizes some known representation theorems for generators of backward stochastic differential equations(BSDEs).As some applications,a general converse comparison theorem for RBSDEs is obtained and some properties of RBSDEs are discussed.

关 键 词：倒向随机微分方程 生成元的表示定理 逆比较定理 障碍 

分 类 号：O211.63[理学—概率论与数理统计]