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J4 ›› 2011, Vol. 46 ›› Issue (6): 79-83.

• 论文 • 上一篇    下一篇

具有随机Lipschitz系数的反射倒向随机微分方程

吕文1,2   

  1. 1.山东大学数学学院, 山东 济南 250100; 2.烟台大学数学学院, 山东 烟台 264005
  • 收稿日期:2010-11-02 出版日期:2011-06-16 发布日期:2011-12-19
  • 作者简介:吕文(1974- ),男,讲师,博士研究生,研究方向为随机分析与随机微分方程.Email:llcxw@163.com
  • 基金资助:

    烟台大学青年基金资助项目(SX08Z9);国家基础研究计划(973计划)项目(2007CB814900)

Reflected BSDEs with a stochastic Lipschitz coefficient

LV Wen1,2   

  1. 1. School of Mathematics, Shandong University, Jinan 250100, Shandong, China;
    2. School of Mathematics, Yantai University, Yantai 264005, Shandong, China
  • Received:2010-11-02 Online:2011-06-16 Published:2011-12-19

摘要:

考虑了一类具有随机Lipschitz系数的反射倒向随机微分方程。利用Snell包络证明了特殊形式下方程解的存在惟一性, 利用不动点定理得到了一般形式下方程解的存在惟一性。

关键词: 反射倒向随机微分方程; 随机Lipschitz系数; Snell包络

Abstract:

A class of reflected backward stochastic differential equations with a stochastic Lipschitz coefficient is considered. First, the existence and uniqueness of the solutions for those equations in a special form are proved via Snell envelope. Then the same result for those equations in general form is obtained by using the fixed point theorem.

Key words: reflected backward stochastic differential equation; stochastic Lipschitz coefficient; Snell envelope

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