J4 ›› 2011, Vol. 46 ›› Issue (6): 79-83.
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吕文1,2
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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)
LV Wen1,2
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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
吕文1,2. 具有随机Lipschitz系数的反射倒向随机微分方程[J]. J4, 2011, 46(6): 79-83.
LV Wen1,2. Reflected BSDEs with a stochastic Lipschitz coefficient[J]. J4, 2011, 46(6): 79-83.
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