| 多值倒向双重随机微分方程在随机利普希茨条件下解的存在唯一性 |
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| 引用本文： | 彭蓉丽. 多值倒向双重随机微分方程在随机利普希茨条件下解的存在唯一性[J]. 安庆师范学院学报(自然科学版), 2012, 18(2): 6-10,21 |
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| 作者姓名： | 彭蓉丽 |
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| 作者单位： | 安徽师范大学数学计算机科学学院,安徽芜湖,241000 |
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| 摘 要： | 本文讨论了一类含两个凸函数的次微分算子的多值倒向双重随机微分方程,利用Yosida逼近法和惩罚函数法,给出了方程在其系数满足随机利普希茨条件下解的存在唯一性,所得结果推广了现有一些重要结论。
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| 关 键 词： | 倒向双重随机微分方程 次微分算子 Yosida逼近 随机利普希茨条件 |
The Existence and Uniqueness of the Solution for Multi -valued Backward Doubly Stochastic Differential Equations with Stochastic Lipschitz Condition |
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| PENG Rong-li. The Existence and Uniqueness of the Solution for Multi -valued Backward Doubly Stochastic Differential Equations with Stochastic Lipschitz Condition[J]. Journal of Anqing Teachers College(Natural Science Edition), 2012, 18(2): 6-10,21 |
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| Authors: | PENG Rong-li |
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| Affiliation: | PENG Rong-li(School of Mathematical and Computer Science,Anhui Normal University,Wuhu,Anhui,241000,China) |
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| Abstract: | In this paper,a class of multi-valued backward doubly stochastic differential equations whose coefficients contain the subdifferential operators of two convex functions are considered.By means of a penalization argument based on Yosida approximation,we establish the existence and uniqueness of the solution under the stochastic Lipschitz conditions.Some known results are generalized and improved. |
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| Keywords: | Backward doubly stochastic differential equation subdifferential operator Yosida approximation stochastic Lips- chitz condition |
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