关于双障碍RBSDEs解K+与K-的一点注记

J4 ›› 2011, Vol. 46 ›› Issue (3): 112-115.

关于双障碍RBSDEs解K⁺与K^-的一点注记

郑石秋¹,刘玉春²,郑春华³

1.河北理工大学理学院, 河北唐山 063009; 2.南开大学滨海学院应用数学系, 天津 300270;
3. 陕西工业职业技术学院基础部, 陕西咸阳 712000

收稿日期:2009-06-12 发布日期:2011-04-21
作者简介:郑石秋(1981- ),男,硕士,助教,研究方向为倒向随机微分方程.Email:shiqiumath@163.com
基金资助:
河北理工大学科学研究基金资助项目(Z201018)

A note on the solutions K⁺and K^-of reflected BSDEs with double obstacles

ZHENG Shi-qiu¹, LIU Yu-chun², ZHENG Chun-hua³

1. College of Science, Hebei Polytechnic University, Tangshan 063009, Hebei, China;
2. Department of Applied Mathematics, Nankai University Binhai College, Tianjin 300270, China;
3. Basic Department, Shaanxi Polytechnic Institute, Xianyang 712000, Shaanxi, China

Received:2009-06-12 Published:2011-04-21

摘要/Abstract

摘要：

讨论了双障碍反射型倒向随机微分方程解的严格比较问题,给出了关于双障碍反射型倒向随机微分方程解K⁺与K^-的若干性质。

关键词: 倒向随机微分方程;比较定理;障碍

Abstract:

The strict comparison problem of reflected backward stochastic differential equations with double obstacles is discussed and some properties of the solutions K⁺ and K^- of reflected BSDEs with double obstacles are given.

Key words: backward stochastic differential equations; comparison theorem; obstacle

郑石秋1,刘玉春2,郑春华3. 关于双障碍RBSDEs解K⁺与K^-的一点注记[J]. J4, 2011, 46(3): 112-115.

ZHENG Shi-qiu1, LIU Yu-chun2, ZHENG Chun-hua3. A note on the solutions K⁺and K^-of reflected BSDEs with double obstacles[J]. J4, 2011, 46(3): 112-115.

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