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山东大学学报(理学版) ›› 2015, Vol. 50 ›› Issue (08): 24-33.doi: 10.6040/j.issn.1671-9352.0.2015.038

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具有Osgood型生成元的多维倒向重随机微分方程

王先飞, 江龙, 马娇娇   

  1. 中国矿业大学理学院, 江苏 徐州 221116
  • 收稿日期:2015-01-09 出版日期:2015-08-20 发布日期:2015-07-31
  • 通讯作者: 江龙(1964- ), 男, 博士, 教授, 研究方向为随机分析与金融数学. E-mail:jianglong365@hotmail.com E-mail:jianglong365@hotmail.com
  • 作者简介:王先飞(1987- ), 男, 硕士研究生, 研究方向为倒向重随机微分方程. E-mail:wangxianfly@163.com
  • 基金资助:
    国家自然科学基金资助项目(11371362)

Multidimensional backward doubly stochastic differential equations with generators of Osgood type

WANG Xian-fei, JIANG Long, MA Jiao-jiao   

  1. College of Sciences, China University of Mining and Technology, Xuzhou 221116, Jiangsu, China
  • Received:2015-01-09 Online:2015-08-20 Published:2015-07-31

摘要: 研究了一类多维倒向重随机微分方程, 其生成元f关于y满足Osgood条件,且生成元g关于y满足一类新的非Lipschitz条件. 建立了该类方程的一个解的存在唯一性定理和一个稳定性定理,并给出了该类方程在一维情形下解的比较定理.

关键词: Osgood条件, 稳定性定理, 比较定理, 存在唯一性定理, 倒向重随机微分方程

Abstract: A class of multidimensional backward doubly stochastic differential equations whose generator f satisfies the Osgood condition in y and generator g satisfies non-Lipschitz condition in y was studied. An existence and uniqueness theorem and a stability theorem of solutions for this kind of equations were established, and a comparison theorem for solution of the class of one-dimensional situation was proposed.

Key words: backward doubly stochastic differential equations, Osgood condition, existence and uniqueness theorem, stability theorem, comparison theorem

中图分类号: 

  • O211
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