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| 摘要: |
| 彭实戈[1]首先建立了一维倒向随机微分方程的比较定理,本文在Lipschitz条件下研究由连续半鞅驱动的倒向随机微分方程,我们将比较定理推广到此类倒向随机微分方程,并且证明方法比彭实戈[1]的更加直接和简单. |
| 关键词: 倒向随机微分方程 比较定理 连续半鞅 |
| DOI： |
| 分类号:O211.63 |
| 基金项目:Supported by National Natural Science Foundation of China (51104069). |
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| COMPARISON THEOREM FOR SOLUTIONS OF BSDES DRIVEN BY CONTINUOUS SEMI-MARTINGALES |
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LI Shi-yu,LI Wen-xue,GAO Wu-jun
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| Abstract: |
| Comparison theorem for solutions of one-dimensional backward stochastic equation (BSDE for short) was first established by Peng [1]. In this paper, we study the BSDEs driven by continuous semi-martingale satisfying Lipschitz condition. We generalize the comparison theorem to this case and prove it by using techniques which are different from those of Peng [1]. Our method is more direct and simpler. |
| Key words: backward stochastic differential equations comparison theorem continuous semi-martingale |
