| 线性增长条件下的倒向重随机微分方程 |
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| 作者单位： | ;1.中国矿业大学理学院 |
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| 摘 要： | 研究倒向重随机微分方程,在生成元f关于(y,z)连续且线性增长、生成元g关于(y,z)满足Mao的非Lipschitz条件下,得到了其最小解存在定理.推广了倒向重随机微分方程在随机控制和数理金融等方面的应用.
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| 关 键 词： | 倒向重随机微分方程 线性增长 非Lipschitz条件 最小解 |
Backward Doubly Stochastic Differential Equations under Linear Growth Condition |
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| Institution: | ,College of Science,China University of Mining and Technology |
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| Abstract: | This paper aims to investigate the uniqueness of minimal solution of Backward Doubly Stochastic Differential Equations,where the generator fis continuous and has a linear growth in(y,z),and the generator gsatisfies Mao's non-Lipschitz condition in(y,z).The research results can be applied in stochastic controls and mathematical finance. |
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| Keywords: | Backward Doubly Stochastic Differential Equations linear growth non-Lipschitz condition minimal solution |
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