华东师范大学学报（自然科学版） >

2016 , Vol. 2016 >Issue 6: 77 - 87

DOI: https://doi.org/10.3969/j.issn.1000-5641.2016.06.008

数学

生成元弱单调且一致连续的 BSDE 的Lp解

  • 廖俊侠 ,
  • 范胜君
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  • 中国矿业大学 理学院, 江苏 徐州  221116

收稿日期: 2015-10-29

  网络出版日期: 2017-01-13

基金资助

中央高校基础研究基金(2013RC20);
国家自然科学基金(11371362)

收起

Lp solutions of BSDEs with weakly monotonic and uniformly continuous generators

  • LIAO Jun-xia ,
  • FAN Sheng-jun
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  • College of Sciences, China University of Mining and Technology, Xuzhou Jiangsu 221116, China

Received date: 2015-10-29

  Online published: 2017-01-13

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摘要

研究一维倒向随机微分方程(BSDE)的Lp解, 其生成元g关于y满足(p ^ 2)-阶弱单调条件和 一般增长条件, 关于z满足一致连续条件. 利用卷积技术以及Girsanov定理等工具, 建立了此类BSDE的Lp(p>1)解的一个存在唯一性结果, 推广了一些已有的结论.

关键词： 倒向随机微分方程; 弱单调; 一致连续; 存在唯一性

本文引用格式

廖俊侠 , 范胜君 . 生成元弱单调且一致连续的 BSDE 的Lp解[J]. 华东师范大学学报（自然科学版）, 2016 , 2016(6) : 77 -87 . DOI: 10.3969/j.issn.1000-5641.2016.06.008

Abstract

This paper is devoted to solving one-dimensional backward stochastic differential equations (BSDEs) whose generator g satisfies a (p ^ 2)-order weak monotonicity condition together with a general growth condition in y and a uniform continuity condition in z. Using the convolution technique and Girsanov’s theorem, we establish an existence and uniqueness result for Lp (p > 1) solutions of this kind of BSDEs, which generalizes some existing results.

Key words： backward stochastic differential equation; weak monotonicity; uniform continuity; existence and uniqueness

参考文献

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