| 由可数多个Brown运动驱动的带跳的倒向随机微分方程的解的存在唯一性 |
| |
| 引用本文： | 让光林,焦海茜.由可数多个Brown运动驱动的带跳的倒向随机微分方程的解的存在唯一性[J].湖北大学学报(自然科学版),2009,31(2):125-130. |
| |
| 作者姓名： | 让光林 焦海茜 |
| |
| 作者单位： | 让光林,RANG Guang-lin(武汉大学数学与统计学院,湖北,武汉,430070;湖北大学数学与计算机科学学院,湖北,武汉,430062);焦海茜,JIAO Hai-qian(湖北大学数学与计算机科学学院,湖北,武汉,430062)
|
| |
| 摘 要： | 首先获证由可数多个Brown运动和Poisson计算测度Nk生成的σ代数上的平方可积鞅有可料表示，并将带跳的倒向随机微分方程（BSDE）的解的存在唯一性推广到由可数多个Brown运动驱动的带跳的BSDE的解的存在唯一性．
|
| 关 键 词： | 带跳的BSDE适应解 Ito公式 鞅表示定理 |
The existence and uniquness of the solution of backward stochastic differential equation with jumps and driven by countably many Brownian motions |
| |
| RANG Guang-lin,JIAO Hai-qian.The existence and uniquness of the solution of backward stochastic differential equation with jumps and driven by countably many Brownian motions[J].Journal of Hubei University(Natural Science Edition),2009,31(2):125-130. |
| |
| Authors: | RANG Guang-lin JIAO Hai-qian |
| |
| Institution: | 1.School of Mathmatics and Statistics;Wuhan University;Wuhan 430070;China;2.School of Mathmatics and Computer Science;Hubei University;Wuhan 430062;China |
| |
| Abstract: | In this paper, by deriving the martingale representation theorem of the square integrable martingale, which is on the σ-algebra generated by countable many Brownian motions and Poisson counting measure Nk, it get the existence and uniquness of the solution of backward stochastic differential equation（BSDE） with jumps and driven by countable many Brownian motions. |
| |
| Keywords: | BSDE with jumps adapted solution Ito formula the martingale repersentation theorem |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
