非Lipschitz条件下倒向随同微分方程解的反比较定理

数学季刊 ›› 2009, Vol. 24 ›› Issue (4): 568-573.

非Lipschitz条件下倒向随同微分方程解的反比较定理

1. Department of Applied Mathematics, Nanjing Audit University2. Academy of Math and System Sciences, CAS

收稿日期:2006-02-24 出版日期:2009-12-30 发布日期:2023-06-19
作者简介: LU Min(1978-), male, native of Taizhou, Jiangsu, a lecturer of Nanjing Audit University, M.S.D., engages in probability; WANG Zeng-wu(1977-), male, native of Xuzhou, Jiangsu, Ph.D., engages in mathematical finance.
基金资助:
Supported by the Natured Science Foundation of the Education Department of Jiangsu Province(06KJD110092)；

A General Converse Comparison Theorem for Backward Stochastic Differential Equation with Non-lipschitz Coefficient

1. Department of Applied Mathematics, Nanjing Audit University2. Academy of Math and System Sciences, CAS

Received:2006-02-24 Online:2009-12-30 Published:2023-06-19
About author: LU Min(1978-), male, native of Taizhou, Jiangsu, a lecturer of Nanjing Audit University, M.S.D., engages in probability; WANG Zeng-wu(1977-), male, native of Xuzhou, Jiangsu, Ph.D., engages in mathematical finance.
Supported by:
Supported by the Natured Science Foundation of the Education Department of Jiangsu Province(06KJD110092)；

摘要/Abstract

摘要： In this article, we first introduce g-expectation via the solution of backward stochastic differential equation(BSDE in short) with non-Lipschitz coefficient, and give the properties of g-expectation, then we establish a general converse comparison theorem for backward stochastic differential equation with non-Lipschitz coefficient.

关键词: backward stochastic differential equation with non-Lipschitz coefficient, generator, g-expectation, converse comparison theorem

Abstract: In this article, we first introduce g-expectation via the solution of backward stochastic differential equation(BSDE in short) with non-Lipschitz coefficient, and give the properties of g-expectation, then we establish a general converse comparison theorem for backward stochastic differential equation with non-Lipschitz coefficient.

Key words: backward stochastic differential equation with non-Lipschitz coefficient, generator, g-expectation, converse comparison theorem

中图分类号:

O211.63

陆敏, 王增武. 非Lipschitz条件下倒向随同微分方程解的反比较定理[J]. 数学季刊, 2009, 24(4): 568-573.

LU Min, WANG Zeng-wu. A General Converse Comparison Theorem for Backward Stochastic Differential Equation with Non-lipschitz Coefficient [J]. Chinese Quarterly Journal of Mathematics, 2009, 24(4): 568-573.

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