| 关于系数平方增长的带跳BSDE的解(Ⅰ) |
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| 引用本文： | 司徒荣,黄纬.关于系数平方增长的带跳BSDE的解(Ⅰ)[J].中山大学学报(自然科学版),2004,43(6):48-51. |
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| 作者姓名： | 司徒荣 黄纬 |
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| 作者单位： | 中山大学统计系,广东,广州,510275 |
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| 摘 要： | 讨论了系数关于q为平方增长,p和-y为指数增长的带跳倒向随机微分方程(BSDE)解的存在性,以及有这种系数的反射BSDE解的存在性.
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| 关 键 词： | 带跳倒向随机微分方程(BSDE) 反射BSDE 平方增长系数 Ito公式 Girsanov定理 解的存在定理 |
| 文章编号： | 0529-6579(2004)06-0048-04 |
| 修稿时间： | 2004年5月12日 |
On Solutions of BSDEs with Jumps and with Coefficients Having a Quadratic Growth ( Ⅰ ) |
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| SITU Rong,HUANG Wei.On Solutions of BSDEs with Jumps and with Coefficients Having a Quadratic Growth ( Ⅰ )[J].Acta Scientiarum Naturalium Universitatis Sunyatseni,2004,43(6):48-51. |
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| Authors: | SITU Rong HUANG Wei |
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| Abstract: | The existence of solutions to backward stochastic differential equations (BSDEs) and reflecting BSDEs with jumps and coefficients was established, which have a quadratic growth in q, an exponential growth in p, and an exponential growth in -y. |
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| Keywords: | backward stochastic differential equations with jumps (BSDE) reflecting BSDE quadractic growth coefficients Ito's formula Girsanov theorem existence theorem for solutions |
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