生成元弱单调且一致连续的 BSDE 的L<sup>p</sup>解

廖俊侠; 范胜君

doi:10.3969/j.issn.1000-5641.2016.06.008

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生成元弱单调且一致连续的 BSDE 的L^p解

doi: 10.3969/j.issn.1000-5641.2016.06.008

廖俊侠,
范胜君^,

1.
中国矿业大学理学院, 江苏徐州 221116

基金项目:

中央高校基础研究基金(2013RC20); 国家自然科学基金(11371362)

详细信息

通讯作者:
范胜君, 男, 教授, 研究方向为随机分析与金融数学. E-mail: f_s_j@126.com.

计量
- 文章访问数: 302
- HTML全文浏览量: 18
- PDF下载量: 577
- 被引次数: 0
出版历程
- 收稿日期: 2015-10-29
- 刊出日期: 2016-11-25

Lp solutions of BSDEs with weakly monotonic and uniformly continuous generators

LIAO Jun-xia,
FAN Sheng-jun^,

1.
College of Sciences, China University of Mining and Technology, Xuzhou Jiangsu 221116, China

摘要

摘要: 研究一维倒向随机微分方程(BSDE)的Lp解, 其生成元g关于y满足(p ^ 2)-阶弱单调条件和一般增长条件, 关于z满足一致连续条件. 利用卷积技术以及Girsanov定理等工具, 建立了此类BSDE的Lp(p1)解的一个存在唯一性结果, 推广了一些已有的结论.
- 倒向随机微分方程 /
- 弱单调 /
- 一致连续 /
- 存在唯一性
Abstract: This paper is devoted to solving one-dimensional backward stochastic differential equations (BSDEs) whose generator g satisfies a (p ^ 2)-order weak monotonicity condition together with a general growth condition in y and a uniform continuity condition in z. Using the convolution technique and Girsanovs theorem, we establish an existence and uniqueness result for Lp (p 1) solutions of this kind of BSDEs, which generalizes some existing results.
- backward stochastic differential equation weak monotonicity uniform continuity existence and uniqueness /

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参考文献(1)

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