| 一类倒向随机微分方程比较定理 |
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| 引用本文： | 林清泉.一类倒向随机微分方程比较定理[J].华中科技大学学报(自然科学版),2001,29(Z1):1-3. |
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| 作者姓名： | 林清泉 |
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| 作者单位： | 华中科技大学数学系 |
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| 基金项目： | 国家自然科学基金资助项目 (19631030). |
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| 摘 要： | 讨论一类漂移系数g(s,y,z)关于(y,z)不满足Lipschitz条件的倒向随机微分方程(BSDE)的比较定理.首先定义停时列使得线性倒向随机微分方程的系数有界,从而得到相应的BSDE存在唯一解,再令n趋于无穷,由此得到原BSDE的比较定理,并利用此结果定义一类更广的(是g满足Lipchitz条件的推广)非线性数学期望(g-期望),并进一步讨论其性质.
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| 关 键 词： | 倒向随机微分方程 比较定理 g-期望 |
| 文章编号： | 1000-8616(2001)1-0001-03 |
| 修稿时间： | 1998年7月29日 |
A Comparison Theorem for BSDEs |
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| Lin Qingquan Dept. of Math.,HUST,Wuhan ,China..A Comparison Theorem for BSDEs[J].JOURNAL OF HUAZHONG UNIVERSITY OF SCIENCE AND TECHNOLOGY.NATURE SCIENCE,2001,29(Z1):1-3. |
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| Authors: | Lin Qingquan Dept of Math HUST Wuhan China |
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| Institution: | Lin Qingquan Dept. of Math.,HUST,Wuhan 430074,China. |
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| Abstract: | A comparison theorem of a class backward stochastic differential equation with the drift coefficient g which does not satisfy Lipschitz condition on ( y, z ) is discussed. By defining stopping time, a result that there exists a nonnegative solution for a linear BSDE is obtained and the comparison theorem is derived. The concept of g expectation with the class of BSDEs is introduced and its properties are discussed. |
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| Keywords: | backward stochastic differential equation comparison theorem g expectation |
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