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带吸收系数的正倒向随机微分方程的可解性

On the Solvability of Forward-Backward Stochastic Differential Equations with Absorption Coefficients
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摘要 利用叠代估计方法研究带吸收系数的正倒向随机微分方程的可解性,在正向随机微分方程的扩散系数可以退化的情形下,证明了适应解的存在性和唯一性,也研究这类正倒向随机微分方程与偏微分方程的联系. The solvability of forward-backward stochastic differential equations with ab- sorption coemcients is studied by the successive approximation method. The existence and uniqueness of an adapted solution are established for the equations which allow the diffusion in the forward stochastic differential equations to be degenerate. The authors also study their connection with partial differential equations.
作者 嵇少林 赵怀忠
机构地区 山东大学数学与系统科学学院 Department of Mathematical Sciences
出处 《数学年刊（A辑）》 CSCD 北大核心 2008年第1期71-82,共12页 Chinese Annals of Mathematics
基金 国家自然科学基金(No．10201018) 英国EPSRC基金(No．GR/R69518)资助的项目
关键词 正倒向随机微分方程 吸收系数 粘性解 Forward-backward stochastic differential equations, Absorption
分类号 O211.63 [理学—概率论与数理统计]
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参考文献13

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数学年刊（A辑）
2008年 第1期

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