华东师范大学学报（自然科学版）Issue(1)：130-137,8.DOI:10.3969/j.issn.1000-5641.2012.01.017
具有单调、H(o)lder连续及可积参数的一维倒向随机微分方程
One-dimensional BSDEs with monotonic,H(o)lder continuous and integrable parameters
摘要
Abstract
This paper established a new existence and uniqueness result for solutions to one-dimensional backward stochastic differential equations (BSDEs) with only integrable parameters,where the generator g is monotonic in y and α-H(o)lder (0 ＜ α ＜ 1) continuous in z.By Tanaka's formula and Girsanov's theorem we established a comparison theorem for solutions in L1 to BSDEs,from which the uniqueness follows.By convolution technique we obtained a uniform approximation sequence of the generator g and then constructed a sequence of solutions in L1 for BSDEs.Finally,we proved the limitation of this sequence of solutions is the desired solution.This proved the existence.关键词
倒向随机微分方程/可积参数/单调生成元/H(o)lder连续/存在唯一性Key words
backward stochastic differential equation/ integrable parameters/ monotonic generator/ H(o)lder continuous/ existence and uniqueness分类
数理科学引用本文复制引用
肖立顺,李慧颖,范胜君..具有单调、H(o)lder连续及可积参数的一维倒向随机微分方程[J].华东师范大学学报（自然科学版）,2012,(1):130-137,8.基金项目
国家自然科学基金(10971220) （10971220）
全国优秀博士学位论文作者专项基金(200919) （200919）
中央高校基本科研业务费专项资金(2010LKSX04). （2010LKSX04）
