非Lipschitz条件下两边界反射型倒向随机微分方程的解

数学季刊 ›› 2007, Vol. 22 ›› Issue (4): 538-549.

非Lipschitz条件下两边界反射型倒向随机微分方程的解

1.Department of Mathematics,Anhui Normal University,Wuhu 241000,China;2.College of Mechanical and Electronic,Kaifeng University,Kaifeng 475000,China;3.Department of Mathematics,East China University of Science and Technology,Shanghai 200237,China

收稿日期:2004-10-19 出版日期:2007-12-30 发布日期:2023-10-20
作者简介:HU Lan-ying(1975-), female, native of Huaining, Anhui, a lecturer of Anhui Normal University, M.S.D., engages in BSDE and applications; REN Yong(1976-), male, native of Huoqiu, Anhui, an associate professor of Anhui Normal University Ph.D., engages in BSDE and its applications.
基金资助:
Supported by the Key Science and Technology Project of Ministry of Education(207047)； Supported by the Special Project Grants of Anhui Normal University(2006xzx08)； Supported by the Project Grants for Younger Teachers of Anhui Normal University(2006xqn49)； Supported by NSF of Anhui Educational Bureau(KJ2007A012)；

On Solutions of BSDE with Two Barriers Under Non-Lipschitz Condition

1.Department of Mathematics,Anhui Normal University,Wuhu 241000,China;2.College of Mechanical and Electronic,Kaifeng University,Kaifeng 475000,China;3.Department of Mathematics,East China University of Science and Technology,Shanghai 200237,China

Received:2004-10-19 Online:2007-12-30 Published:2023-10-20
About author:HU Lan-ying(1975-), female, native of Huaining, Anhui, a lecturer of Anhui Normal University, M.S.D., engages in BSDE and applications; REN Yong(1976-), male, native of Huoqiu, Anhui, an associate professor of Anhui Normal University Ph.D., engages in BSDE and its applications.
Supported by:
Supported by the Key Science and Technology Project of Ministry of Education(207047)； Supported by the Special Project Grants of Anhui Normal University(2006xzx08)； Supported by the Project Grants for Younger Teachers of Anhui Normal University(2006xqn49)； Supported by NSF of Anhui Educational Bureau(KJ2007A012)；

摘要/Abstract

摘要： In this paper,we derive the existence and uniqueness theorem for the adapted solution to backward stochastic differential equations with two barriers under non-Lipschitz condition via penalization method.

关键词: backward stochastic differential equation, barrier, penalization method

Abstract: In this paper,we derive the existence and uniqueness theorem for the adapted solution to backward stochastic differential equations with two barriers under non-Lipschitz condition via penalization method.

Key words: backward stochastic differential equation, barrier, penalization method

中图分类号:

O211.6

胡兰英, 朱跃峰, 夏宁茂等. 非Lipschitz条件下两边界反射型倒向随机微分方程的解[J]. 数学季刊, 2007, 22(4): 538-549.

HU Lan-ying, ZHU Yue-feng, XIA Ning-mao, REN Yong. On Solutions of BSDE with Two Barriers Under Non-Lipschitz Condition[J]. Chinese Quarterly Journal of Mathematics, 2007, 22(4): 538-549.

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