摘要
本文研究了由满足某种矩条件下Lévy过程相应的Teugel鞅及与之独立的布朗运动驱动的倒向随机微分方程,给出了飘逸系数满足非Lipschitz条件下解的存在唯一及稳定性结论.解的存在性是通过Picard迭代法给出的.解的L2收敛性是在飘逸系数弱于L2收敛意义下所得到的.
We deal with backward stochastic differential equations （BSDEs in short） driven by Teugel＇s martingales associated with Levy process satisfying some moment condition and an independent Brownian motion. We derive the existence, uniqueness and stability of solutions for these equations under non-Lipschitz condition on the coefficients. And the existence of the solutions is obtained by a Picard-type iteration. The strong L^2 convergence of solutions is derived under a weaker condition than the strong L^2 convergence on the coefficients.
出处
《应用数学》
CSCD
北大核心
2007年第2期307-315,共9页
Mathematica Applicata
基金
Supported by the Key Science and Technology Project of Ministry of Education(207407)
NSF of Anhui Educational Bureau(2006kj251B)
the Special Project Grants of AnhuiNormal University (2006xzx08)
