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| 摘要: |
| 本文研究一类特殊的延迟倒向随机微分方程最小解的相关问题.当假设生成子满足连续性假设和类似线性增长条件时,证明了最小解的存在性.本文推广了最小解存在的一般假设条件,这里假设要弱于之前的文献,然而本文得到了更好的引理,并且得到了相同的结论. |
| 关键词: 延迟倒向随机微分方程 最小解 比较定理 |
| DOI： |
| 分类号:O211.63 |
| 基金项目:Supported by National Natural Science Foundation of China (10671182). |
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| THE MINIMAL SOLUTION OF A SPECIAL ANTICIPATED BACKWARD STOCHASTIC DIFFERENTIAL EQUATION |
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TU Shu-heng,LIAO Jun-jun
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| Abstract: |
| In this paper, we study the problem of a minimal solution to a special class of anticipated backward stochastic differential equation. When the generator is continuous and satisfying a similar linear growth condition, we prove the existence of minimal solutions. Here, our hypotheses are weaker than the before papers, however, we obtain a better lemma and the same result. |
| Key words: anticipated backward stochastic differential equations minimal solution comparison theorem |
