| 无穷水平倒向双重随机微分方程解的存在唯一性及比较定理 |
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| 引用本文： | 孙晓君,甄鑫. 无穷水平倒向双重随机微分方程解的存在唯一性及比较定理[J]. 东华大学学报(自然科学版), 2010, 36(1) |
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| 作者姓名： | 孙晓君 甄鑫 |
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| 作者单位： | 东华大学理学院,上海,201620 |
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| 摘 要： | 研究无穷区间上的倒向双重随机微分方程,在一类Lipschitz条件下,通过有限区间的逼近,运用Gronwall不等式和It公式,证明了方程解的存在性、唯一性以及比较定理.
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| 关 键 词： | 倒向双重随机微分方程 无穷水平 解的存在唯一性 比较定理 |
Existence and Uniqueness and Comparison Theorems of Infinite Horizon Backward Doubly Stochastic Differential Equations |
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| SUN Xiao-jun,ZHEN Xin. Existence and Uniqueness and Comparison Theorems of Infinite Horizon Backward Doubly Stochastic Differential Equations[J]. Journal of Donghua University, 2010, 36(1) |
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| Authors: | SUN Xiao-jun ZHEN Xin |
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| Abstract: | The infinite horizon backward doubly stochastic differential equations(BDSDE)under a class of Lipschitz condition are studied.Both the theorem of existence and uniqueness and comparison theorems are proved by the approximation on finite interval and using the Gronwall's inequality and It(o)formula |
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| Keywords: | backward doubly stochastic differential equations infinite horizon existence and uniqueness comparison theorems |
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