一种新非Lipschitz条件下倒向随机微分方程的L2解
L2 Solutions of BSDEs with a New Kind of Non-Lipschitz
摘要: 经典的倒向随机微分方程是由布朗运动驱动的，但布朗运动是一种非常特殊的随机过程，致使倒向随机微分方程的应用受到相当大的限制。本文研究了以连续局部鞅为干扰源的一维倒向随机微分方程，在生成元满足一种新非Lipschitz条件下，证明了其L2解存在且唯一。
Abstract: The classical backward stochastic differential equation (BSDE) is driven by the Brownian motion, but Brownian motion is a very special stochastic process, so the application of backward stochastic differential equation is quite limited. In this paper, we are interested in solving one-dimensional backward stochastic differential equations (BSDEs) with a new kind of non-Lipschitz coefficients. We establish an existence and uniqueness result of solutions in L2.
文章引用：李师煜, 但李萍, 杨璐帆. 一种新非Lipschitz条件下倒向随机微分方程的L2解[J]. 应用数学进展, 2019, 8(8): 1321-1326. https://doi.org/10.12677/AAM.2019.88155

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