具有跳跃的非Lipschitz系数正-倒向随机微分方程解的存在性(英文)

Existence of Solutions for Forward-Backward Stochastic Differential Equations with Jumps and Non-Lipschitzian Coefficients

中文关键词:  正-倒向随机微分方程  无界停时  非Lipschitz系数  先验估计

英文关键词:Forward-backward stochastic differential equations  Unbounded stopping time  Non-Lipschitzian coefficients  Priori estimate.

中文摘要:

      研究了终端为停时带Poisson跳的正-倒向随机微分方程,在非Lipschitz系数和弱单调性的假设条件下,应用概率分析方法,证明了方程解的存在唯一性,同时给出了有关的先验估计,其中的正向方程允许为退化情形。

英文摘要:

      This paper studies for ward-back ward differential equations with Poisson jumps and with stopping time as termination. Under some weak monotonicity conditions and for non-Lipschitzian coefficients, the existence and uniqueness of solutions are proved via a purely probabilistic approach, while a priori estimate is given. Here, we allow the forward equation to be degenerate.