非Lipschitz条件下的倒向重随机微分方程
Backward Doubly Stochastic Differential Equations with non-Lipschitz
本文我们研究了一类倒向重随机微分方程.得到了非Lipschitz条件下的倒向重随机微分方程解的存在唯一性定理,并且得到了此类方程的一个比较定理.
class of backward doubly stochastic differential equations (BDSDEs) are studied. The existence and uniqueness of solution to BDSDEs with non-Lipschitz coefficients is obtained, and a comparison theorem to this kind of backward stochastic differential equations is showed.
韩宝燕、石玉峰、朱波
数学
随机积分倒向重随机微分方程比较定理Picard迭代序列.
Stochastic calculus backward doubly stochastic
韩宝燕,石玉峰,朱波.非Lipschitz条件下的倒向重随机微分方程[EB/OL].(2005-08-29)[2025-08-30].http://www.paper.edu.cn/releasepaper/content/200508-167.点此复制
评论