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无界停时终端非李氏系数带跳倒向随机微分方程的解及拟线性椭圆型偏微分积分方程解的概率表示

司徒荣 王越平

司徒荣, 王越平. 无界停时终端非李氏系数带跳倒向随机微分方程的解及拟线性椭圆型偏微分积分方程解的概率表示[J]. 应用数学和力学, 2000, 21(6): 597-609.
引用本文: 司徒荣, 王越平. 无界停时终端非李氏系数带跳倒向随机微分方程的解及拟线性椭圆型偏微分积分方程解的概率表示[J]. 应用数学和力学, 2000, 21(6): 597-609.
Situ Rong, Wang Yueping. On Solutions of Backward Stochastic Differential Equations With Jumps,With Unbounded Stopping Times as Terminal and With Non-Lipschitz Coefficients,and Probabilistic Interpretationof Quasi-Linear Elliptic TypeIntegro-Differential Equations[J]. Applied Mathematics and Mechanics, 2000, 21(6): 597-609.
Citation: Situ Rong, Wang Yueping. On Solutions of Backward Stochastic Differential Equations With Jumps,With Unbounded Stopping Times as Terminal and With Non-Lipschitz Coefficients,and Probabilistic Interpretationof Quasi-Linear Elliptic TypeIntegro-Differential Equations[J]. Applied Mathematics and Mechanics, 2000, 21(6): 597-609.

无界停时终端非李氏系数带跳倒向随机微分方程的解及拟线性椭圆型偏微分积分方程解的概率表示

基金项目: 国家自然科学基金资助项目(79790130);中山大学前沿项目基金
详细信息
    作者简介:

    司徒荣(1935~ ),男,广州人,教授,博士生导师.

  • 中图分类号: O211.63

On Solutions of Backward Stochastic Differential Equations With Jumps,With Unbounded Stopping Times as Terminal and With Non-Lipschitz Coefficients,and Probabilistic Interpretationof Quasi-Linear Elliptic TypeIntegro-Differential Equations

  • 摘要: 对终端为无界停时的带跳倒向随机微分方程,在非李氏条件下证得了解的存在唯一性.推导出这类方程解的若干收敛定理与解对参数的连续依赖性,还得到了关于拟线性随圆型偏微分积分方程解的概率表示.
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出版历程
  • 收稿日期:  1999-04-15
  • 修回日期:  2000-02-20
  • 刊出日期:  2000-06-15

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