一类倒向随机微分方程对应的二阶偏微分方程的粘性解

上海交通大学学报（自然版） ›› 2012, Vol. 46 ›› Issue (09): 1522-1528.

一类倒向随机微分方程对应的二阶偏微分方程的粘性解

冉启康a,b

(上海财经大学 a. 应用数学系; b. 上海金融信息研究重点实验室, 上海 200433)

收稿日期:2011-04-21 出版日期:2012-09-28 发布日期:2012-09-28

BSDEs and Viscosity Solutions of the Associated System with Partial Integro-Differential Equations

RAN Qi-Kang-a, b

(a. Department of Applied Mathematics; b. Shanghai Key Laboratory of Financial Information Technology, Shanghai University of Finance and Economics, Shanghai 200433, China)

Received:2011-04-21 Online:2012-09-28 Published:2012-09-28

摘要/Abstract

摘要： 摘要：
讨论了一类带有Lévy过程的正倒向随机微分方程对应的二阶偏微分方程的粘性解. 在系数满足Lipschitz条件下，证明了粘性解的存在性及惟一性. 关键词：
正倒向随机微分方程； Teugel鞅；积分微分型二阶偏微分方程；粘性解中图分类号： O 211.63
文献标志码： A

Abstract: An existence result and A uniqueness result of a backward stochastic differential equation driven by Teugels martingales associated with a Lévy process were obtained. It is also shown that under some- conditions the solution of the BSDE provides a unique viscosity solution of the associated system with partial integro-differential equations.

Key words: forward-backward stochastic differential equations, Teugel’s , martingales, partial integro-differential equations, viscosity solutions

冉启康a, b. 一类倒向随机微分方程对应的二阶偏微分方程的粘性解[J]. 上海交通大学学报（自然版）, 2012, 46(09): 1522-1528.

RAN Qi-Kang-a, b . BSDEs and Viscosity Solutions of the Associated System with Partial Integro-Differential Equations[J]. Journal of Shanghai Jiaotong University, 2012, 46(09): 1522-1528.

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