| 张 伟,江 龙.Osgood条件下G-Brown驱动的倒向随机微分方程[J].数学年刊A辑,2020,41(3):309~324 |
| Osgood条件下G-Brown驱动的倒向随机微分方程 |
| Backward Stochastic Differential Equations with Generators of Osgood Type Driven by G-Brownian Motion |
| Received:August 04, 2018 Revised:May 19, 2020 |
| DOI：10.16205/j.cnki.cama.2020.0022 |
| 中文关键词: G-BSDE, G-Brown 运动, Osgood 条件, 逐次逼近法 |
| 英文关键词:G-BSDE, G-Brownian motion, Osgood condition, Successive approximation |
| 基金项目:中央大学基础研究专项基金 (No.,2017XKZD11) |
|
| Hits: 355 |
| Download times: 416 |
| 中文摘要: |
| 在生成元关于变量 y 满足 Osgood 条件、 关于变量 z 满足 Lipschitz 条件下,建立了 G-Brown 运动驱动的倒向随机微分方程的解的存在唯一性定理. |
| 英文摘要: |
| In this paper, the authors study the following backward stochastic differential equation driven by G-Brownian motion Yt = ξ + Zt T f(s, Ys, Zs)ds + Zt T g(s, Ys, Zs)dhBis Zt T ZsdBs (KT Kt),whose generators satisfy Osgood condition in y and Lipschitz continuous in z. An existence and uniqeness theorem for this kind of G-BSDE is established. |
| View Full Text View/Add Comment Download reader |
| Close |
|
|
|
|
|
