带跳的耦合正倒向随机微分方程  

COUPLED FORWARD-BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS WITH RANDOM JUMPS

作　　者：叶锦春[1] 

机构地区：[1]复旦大学数学研究所,上海200433

出　　处：《数学年刊（A辑）》2002年第6期737-750,共14页Chinese Annals of Mathematics

基　　金：国家教育部博士点基金(No.79790130)资助的项目.

摘　　要：本文对带跳的耦合正倒向随机微分方程引入了“桥”的概念,证明了如果两个带跳的耦合正倒向随机微分方程被桥连接着,那么它们有相同的唯一可解性.在此基础上,通过桥的构造,得到一些带跳的正倒向随机微分方程的唯一可解性.The notion of bridge is introduced for systems of coupled forward-backward stochastic differential equations with random jumps (JFBSDEs for short). It is proved that if two JF-BSDEs are linked by a bridge, then they have the same unique solvability. Consequently,by constructing appropriate bridges, we obtain several classes of uniquely solvable are obtained.

关 键 词：耦合正倒向随机微分方程 “桥” 适应解 

分 类 号：O211.63[理学—概率论与数理统计] O175[理学—数学]