|本期目录/Table of Contents|

一类被L?evy过程趋动的反射BSDEs(PDF)

《纯粹数学与应用数学》[ISSN:1008-5513/CN:61-1240/O1]

期数:
2010年01期
页码:
56
栏目:
出版日期:
2010-01-15

文章信息/Info

Title:
A class of RBSDEs driven by L?evy processes
作者:
冉启康
(上海财经大学应用数学系, 上海200433)
Author(s):
RAN Qi-kang
(Department of Applied Mathematics, Shanghai University of Finance and Economics, Shanghai 200433, China)
关键词:
L?evy过程 反射倒向随机微分方程 跳时间 罚函数方法
Keywords:
re°ected backward stochastic di?erential equations (RBSDEs) jumping times penalization method
分类号:
O211.63
DOI:
-
文献标识码:
A
摘要:
讨论了一类由L?evy 过程趋动的带连续下障碍的反射倒向随机微分方程. 使用罚 函数方法, 证明了在Lipschitz条件下解的存在唯一性.
Abstract:
In this paper, we study the re°ected BSDE with one continuous lower barrier driven by martingales and an independent Brownian motion. Under the Lipschitz condition, we prove the existence and uniqueness of solution by penalization method.

参考文献/References

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备注/Memo

备注/Memo:
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更新日期/Last Update: 2010-01-15