| 一个存在性定理:不连续的带有两个反射壁的倒向随机微分方程 |
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| 引用本文： | 范锡良,任永. 一个存在性定理:不连续的带有两个反射壁的倒向随机微分方程[J]. 安徽师范大学学报(自然科学版), 2009, 32(5): 409-414 |
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| 作者姓名： | 范锡良 任永 |
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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;安徽师范大学,数学计算机科学学院,安徽,芜湖,241000 |
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| 基金项目： | Supported by the Natural Science Foundation of China(10726075). |
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| 摘 要： | 主要证明了漂移系数关于变量y不连续和变量z利普希茨的带有两个反射壁的倒向随机微分方程的解的存在性定理.
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| 关 键 词： | 反射型倒向随机微分方程 比较定理 |
An Existence Theorem of BSDE with Two Reflecting Barriers and Discontinuous Coefficient |
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| FAN Xi-liang,REN Yong. An Existence Theorem of BSDE with Two Reflecting Barriers and Discontinuous Coefficient[J]. Journal of Anhui Normal University(Natural Science Edition), 2009, 32(5): 409-414 |
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| Authors: | FAN Xi-liang REN Yong |
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| Affiliation: | FAN Xi-liang,REN Yong (College of Mathematics , Computer Science,Anhui Normal University,Wuhu 241000,China) |
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| Abstract: | In this paper,we mainly prove an existence result of BSDE with two reflecting barriers in which the coefficient is discontinuous in y and Lipschitz in z. |
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| Keywords: | reflected backward stochastic differential equation comparison theorem |
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