李银, 范胜君, 王先飞. 一致连续的多维倒向随机微分方程的L1解[J]. 云南大学学报(自然科学版), 2015, 37(4): 475-484. doi: 10.7540/j.ynu.20150073
引用本文: 李银, 范胜君, 王先飞. 一致连续的多维倒向随机微分方程的L1解[J]. 云南大学学报(自然科学版), 2015, 37(4): 475-484. doi: 10.7540/j.ynu.20150073
LI Yin, FAN Sheng-jun, WANG Xian-fei. On the L1 solution for multidimensional BSDEs with uniformly continuous generators[J]. Journal of Yunnan University: Natural Sciences Edition, 2015, 37(4): 475-484. DOI: 10.7540/j.ynu.20150073
Citation: LI Yin, FAN Sheng-jun, WANG Xian-fei. On the L1 solution for multidimensional BSDEs with uniformly continuous generators[J]. Journal of Yunnan University: Natural Sciences Edition, 2015, 37(4): 475-484. DOI: 10.7540/j.ynu.20150073

一致连续的多维倒向随机微分方程的L1解

On the L1 solution for multidimensional BSDEs with uniformly continuous generators

  • 摘要: 建立了一致连续的多维倒向随机微分方程 (BSDE)L1 解的一个新的存在唯一性结果,其中生成元g关于y满足Osgood条件,关于z是α-Hölder(0<α<1)连续的,并且g的第i个分量仅仅依赖于矩阵z的第i行.

     

    Abstract: It is established that a new existence and uniqueness result for the L1 solution to a multidimensional backward stochastic differential equations (BSDEs) with uniformly continuous generators,where the generator g satisfies the Osgood condition in y and the α-Hölder(0<α<1) continuity condition in z,and the ith component gt(t,y,z) of g only depends on the ith row of matrix z.

     

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