摘要
对带扰动的倒向随机微分方程进行了研究,利用Gronwall不等式,Jensen不等式,以及常微分方程的比较定理,给出了一类非Lipschitz条件下带扰动的倒向随机微分方程解的比较定理.
In this paper the peturbed backward stochastic differential equation is disscussed. The comparison theorem of peturbed backward stochastic differential equation is proved under non--Lipschitz conditon Gronwall＇s inequality, Jensen＇s inequality and the comparison theorem of ODE is used as the main means.
出处
《甘肃联合大学学报（自然科学版）》
2009年第6期1-3,共3页
Journal of Gansu Lianhe University :Natural Sciences
关键词
扰动
倒向随机微分方程
It公式
适应解
比较定理
pertubation
backward stochastic differential equation
Ito formula
adapt solution
comparison theorm
