文献类型：期刊文献

中文题名：由Lévy过程驱动的倒向随机微分方程在局部Bihari条件下解的存在唯一性

英文题名：The Existence and Uniqueness of the Solution of BSDEs Driven by Lévy Process with the Local Bihari Conditions

作者：林爱红[1];夏宁茂[1]

机构：[1]华东理工大学数学系,上海200237

年份：2010

卷号：30

期号：3

起止页码：98

中文期刊名：数学理论与应用

外文期刊名：Mathematical Theory and Applications

语种：中文

中文关键词：Lévy过程;Teugele鞅;倒向随机微分方程;局部Bihari条件;存在唯一性

外文关键词：Levy process Teugele Martingale BSDEs Local Biharl condition Existence and uniqueness

摘要：本文利用推广的Bihari不等式和截断函数,证明了由Lévy过程驱动的倒向随机微分方程在局部Bihari条件下解的存在唯一性。我们先给出在某种较弱的条件下,方程在局部区间[T0,T]上解的存在唯一性,然后加强条件,得到解的全局存在唯一性,从而推广了周和秦的结论。
In this paper, by using the Bihari inequality and truncation functlon, we prove the existence and uniqueness of the solution of BSDEs driven by Levy process with some local Biharl conditions. We first prove the existence and uniqueness of the solution in the interval [ T0, T] with some weaker conditions, then enhance the conditions we can get the result in the full interval [0,T]. We generalize the results of Zhou and Qin.