A new class of generalized backward doubly stochastic differential equations （GBDSDEs in short） driven by Teugels martingales associated with Levy process are investigated. We establish a comparison theorem which al...A new class of generalized backward doubly stochastic differential equations （GBDSDEs in short） driven by Teugels martingales associated with Levy process are investigated. We establish a comparison theorem which allows us to derive an existence result of solutions under continuous and linear growth conditions.展开更多
本文讨论在金融中有重要应用价值的,由Lévy过程驱动的倒向双重随机微分方程: Y_t=ξ+∫_t^T f(s,Y_(s-),U_s,Z_s)ds+∫_t^T g(s,Y_(s-),U_s,Z_s)dB_s -∫_t^TU_sdW_s-sum for i=1 to ∞ Z_s^(i)dH_s^(i)在系数g满足Lipschitz条件,...本文讨论在金融中有重要应用价值的,由Lévy过程驱动的倒向双重随机微分方程: Y_t=ξ+∫_t^T f(s,Y_(s-),U_s,Z_s)ds+∫_t^T g(s,Y_(s-),U_s,Z_s)dB_s -∫_t^TU_sdW_s-sum for i=1 to ∞ Z_s^(i)dH_s^(i)在系数g满足Lipschitz条件,f满足推广的Bihari条件:|f(t,y_1,u_1,z_1)-f(t,y_2,u_2,z_2)|~2≤c(t)k(|y_1-y_2|~2)+K(|u_1-u_2|~2+||z_1-z_2||~2)时,利用推广It公式、Picard迭代法和区间延拓过程,证明了上述方程F_t适应解的存在唯一性,推广了其它文献以前的结论.展开更多
In this paper we study reflected and doubly reflected backward stochastic differential equations （BSDEs, for short） driven by Teugels martingales associated with L^vy process satisfying some moment condi- tions and ...In this paper we study reflected and doubly reflected backward stochastic differential equations （BSDEs, for short） driven by Teugels martingales associated with L^vy process satisfying some moment condi- tions and by an independent Brownian motion. For BSDEs with one reflecting barrier, we obtain a comparison theorem using the Tanaka-Meyer formula. For BSDEs with two reflecting barriers, we first prove the existence and uniqueness of the solutions under the Mokobodski＇s condition by using the Snell envelope theory and then we obtain a comparison result.展开更多
基金the National Science Foundations of China(10971180,11271169)the Project Funded by the Priority Academic Program Development of Jiangsu Higher Education Institutions
基金supported by TWAS Research Grants to individuals (No. 09-100 RG/MATHS/AF/AC-IUNESCO FR: 3240230311)
文摘A new class of generalized backward doubly stochastic differential equations （GBDSDEs in short） driven by Teugels martingales associated with Levy process are investigated. We establish a comparison theorem which allows us to derive an existence result of solutions under continuous and linear growth conditions.
文摘本文讨论在金融中有重要应用价值的,由Lévy过程驱动的倒向双重随机微分方程: Y_t=ξ+∫_t^T f(s,Y_(s-),U_s,Z_s)ds+∫_t^T g(s,Y_(s-),U_s,Z_s)dB_s -∫_t^TU_sdW_s-sum for i=1 to ∞ Z_s^(i)dH_s^(i)在系数g满足Lipschitz条件,f满足推广的Bihari条件:|f(t,y_1,u_1,z_1)-f(t,y_2,u_2,z_2)|~2≤c(t)k(|y_1-y_2|~2)+K(|u_1-u_2|~2+||z_1-z_2||~2)时,利用推广It公式、Picard迭代法和区间延拓过程,证明了上述方程F_t适应解的存在唯一性,推广了其它文献以前的结论.
基金Supported by the National Natural Science Foundation of China (No. 10671205 and No. 10971220)Chinese Universities Scientific Fund (BUPT2009RC0705)
文摘In this paper we study reflected and doubly reflected backward stochastic differential equations （BSDEs, for short） driven by Teugels martingales associated with L^vy process satisfying some moment condi- tions and by an independent Brownian motion. For BSDEs with one reflecting barrier, we obtain a comparison theorem using the Tanaka-Meyer formula. For BSDEs with two reflecting barriers, we first prove the existence and uniqueness of the solutions under the Mokobodski＇s condition by using the Snell envelope theory and then we obtain a comparison result.
