应用数学2007，Vol.20Issue(2)：307-315,9.
非Lipschitz条件下由Lévy过程驱动的倒向随机微分方程解的存在唯一及其稳定性
Existence, Uniqueness and Stability of Solutions for BSDE Driven by Lévy Processes under Non-Lipschitz Condition
摘要
Abstract
We deal with backward stochastic differential equations (BSDEs in short) driven by independent Brownian motion. We derive the existence, uniqueness and stability of solutions for these equations under non-Lipschitz condition on the coefficients. And the existence of the solutions is obtained by a Picard-type iteration. The strong L2 convergence of solutions is derived under a weaker condition than the strong L2 convergence on the coefficients.关键词
倒向随机微分方程/Lévy过程/Teugel鞅Key words
Backward stochastic differential equation/Lévy process/Teugel's martingale分类
数理科学引用本文复制引用
任永,胡兰英,夏宁茂..非Lipschitz条件下由Lévy过程驱动的倒向随机微分方程解的存在唯一及其稳定性[J].应用数学,2007,20(2):307-315,9.基金项目
Supported by the Key Science and Technology Project of Ministry of Education (207407), NSF of Anhui Educational Bureau (2006kj251B), the Special Project Grants of Anhui Normal University (2006xzx08) （207407）
