| 非Lipschitz条件下带跳的倒向随机微分方程的比较定理 |
| |
| 引用本文： | 韩宝燕.非Lipschitz条件下带跳的倒向随机微分方程的比较定理[J].聊城大学学报(自然科学版),2006,19(3):20-22. |
| |
| 作者姓名： | 韩宝燕 |
| |
| 作者单位： | 山东工艺美术学院,公共教学部,山东,济南,250014 |
| |
| 摘 要： | 对带跳的倒向随机微分方程进行了研究．利用Gronwall不等式，Jensen不等式以及常微分方程的比较定理，给出了一类非Lipschitz条件下带跳的倒向随机微分方程解的比较定理，推广了Lipschitz条件下的比较定理．从而推广了带跳的倒向随机微分方程在数学领域和金融领域的应用．
|
| 关 键 词： | 带跳的倒向随机微分方程 泊松过程 适应解 比较定理 |
| 文章编号： | 1672-6634（2006）03-0020-03 |
| 收稿时间： | 2006-03-12 |
| 修稿时间： | 2006-03-12 |
The comparison theorem of backward stochastic differential equations with jumps under non-lipschitz condition |
| |
| HAN Bao-yan.The comparison theorem of backward stochastic differential equations with jumps under non-lipschitz condition[J].Journal of Liaocheng University:Natural Science Edition,2006,19(3):20-22. |
| |
| Authors: | HAN Bao-yan |
| |
| Institution: | Shandong University of Art and Design,Jinan 250014,China |
| |
| Abstract: | Discusses the Backward Stochastic Differential Equations with Jumps.It is proved the comparison theorem of Backward Stochastic Differential Equations with Jumps under non-Lipschitz conditionon by means of Gronwall's inequality,Jensen's inequality and the comparison theorem of ODE.; |
| |
| Keywords: | backward stochastic differential equations with jumps poisson process adapted solution the comparison theorem |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
