摘要
讨论一类漂移系数 g(s,y ,z)关于 (y ,z)不满足Lipschitz条件的倒向随机微分方程 (BSDE)的比较定理 .首先定义停时列使得线性倒向随机微分方程的系数有界 ,从而得到相应的BSDE存在唯一解 ,再令n趋于无穷 ,由此得到原BSDE的比较定理 ,并利用此结果定义一类更广的 (是 g满足Lipchitz条件的推广 )非线性数学期望 (g 期望 ) 。
A comparison theorem of a class backward stochastic differential equation with the drift coefficient g which does not satisfy Lipschitz condition on ( y, z ) is discussed. By defining stopping time, a result that there exists a nonnegative solution for a linear BSDE is obtained and the comparison theorem is derived. The concept of g expectation with the class of BSDEs is introduced and its properties are discussed.
出处
《华中科技大学学报（自然科学版）》
EI
CAS
CSCD
北大核心
2001年第A01期1-3,共3页
Journal of Huazhong University of Science and Technology(Natural Science Edition)
基金
国家自然科学基金资助项目 (196 310 30 )
关键词
倒向随机微分方程
比较定理
G-期望
backward stochastic differential equation
comparison theorem
g expectation
