双障碍反射型倒向随机微分方程生成元的表示定理及其应用

J4 ›› 2010, Vol. 45 ›› Issue (8): 118-122.

双障碍反射型倒向随机微分方程生成元的表示定理及其应用

郑石秋1,徐峰2,焦琳3,孟宪瑞1

1.河北理工大学理学院, 河北唐山 063009; 2.苏州市职业大学经贸系, 江苏苏州 215104;
3. 徐州工程学院数学与物理科学学院, 江苏徐州 221008

收稿日期:2009-09-15 出版日期:2010-08-16 发布日期:2010-09-16
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 representation theorem for generators of reflected backcoard stochastic differential equations with double obstacles and its applications

ZHENG Shi-qiu 1, XU Feng 2, JIAO Lin 3, MENG Xian-rui 1

1. College of Science, Hebei Polytechnic University, Tangshan 063009, Hebei, China;
2. Business Department, Suzhou Vocational University, Suzhou 215104, Jiangsu, China;
3. Mathematics and Physical Sciences Technology, Xuzhou Institute of Technology, Xuzhou 221008, Jiangsu, China

Received:2009-09-15 Online:2010-08-16 Published:2010-09-16

摘要/Abstract

摘要：

在适当的假设条件下建立了双障碍反射型倒向随机微分方程的生成元的表示定理,利用此表示定理,给出了关于双障碍反射型倒向随机微分方程生成元的逆比较定理。

关键词: 倒向随机微分方程;生成元;表示定理;逆比较定理

Abstract:

A representation theorem for generators of reflected backward stochastic differential equations(SDEs) is established under some suitable conditions, using this representation theorem, converse comparison theorems of reflected BSDEs are obtained.

Key words: backward stochastic differential equations; generator; representation theorem; converse comparison theorem

郑石秋1,徐峰2,焦琳3,孟宪瑞1. 双障碍反射型倒向随机微分方程生成元的表示定理及其应用[J]. J4, 2010, 45(8): 118-122.

ZHENG Shi-qiu 1, XU Feng 2, JIAO Lin 3, MENG Xian-rui 1. A representation theorem for generators of reflected backcoard stochastic differential equations with double obstacles and its applications[J]. J4, 2010, 45(8): 118-122.

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