On Solutions of Backward Stochastic Differential Equations With Jumps, With Unbounded Stopping Times as Terminal and With Non-Lipschitz Coefficients,and Probabilistic Interpretation of Quasi-Linear Elliptic Type Integro-Differential Equations

Situ Rong; Wang Yueping

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On Solutions of Backward Stochastic Differential Equations With Jumps, With Unbounded Stopping Times as Terminal and With Non-Lipschitz Coefficients,and Probabilistic Interpretation of Quasi-Linear Elliptic Type Integro-Differential Equations

Author(s): Situ Rong, Wang Yueping
Pages: 597-609
Year: 2000 Issue: 6
Journal: APPLIED MATHEMATICS AND MECHANICS
Keyword: 带跳倒向随机微分方程; 无界停时; 适应解; 解的收敛性; 拟线性椭圆型方程; 偏微分积分算子;
Abstract: 对终端为无界停时的带跳倒向随机微分方程,在非李氏条件下证得了解的存在唯一性.推导出这类方程解的若干收敛定理与解对参数的连续依赖性,还得到了关于拟线性随圆型偏微分积分方程解的概率表示.

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