应用数学2012，Vol.25Issue(4)：777-784,8.
有限或无限时间终端多维倒向随机微分方程L1解的存在唯一性
An Existence and Uniqueness Result of L1 Solutions to Multidimensional BSDEs with a Finite and an Infinite Time Interval
摘要
Abstract
We established an existence and uniqueness result for L1 solutions to multidimensional backward stochastic differential equations(BSDEs)with only integrable parameters and a finite or an infinite time interval,where the generator g is Lipschitz continuous in both y and z non-uniformly with respect to t.By a prior estimate we proved the uniqueness part.And by Picard's iteration we obtained the existence of solutions.关键词
倒向随机微分方程/可积参数/Lipschitz连续/存在唯一性Key words
Backward stochastic differential equation/Integrable parameter/Lipschitz continuous/Existence and uniqueness分类
数理科学引用本文复制引用
刘德群,肖立顺,范胜君..有限或无限时间终端多维倒向随机微分方程L1解的存在唯一性[J].应用数学,2012,25(4):777-784,8.基金项目
Supported by the National Natural Science Foundation of China(10971220,11101422),the Fundamental Research Funds for the Central Universities(2010LKSX04,JK111729) （10971220,11101422）
