研究了高维及矩阵值带跳倒向随机微分方程解的比较定理问题.利用倒向随机生存性质的相关理论,将比较定理转化为一个特定闭凸集上的生存性质问题,并得到了比较定理成立的一个充分必要条件.
Abstract
We study the comparison theorem for multidimensional backward stochastic differential equations (BSDEs in short) with jumps and for matrix-valued BSDEs with jumps. Applying the backward stochastic viability property (BSVP in short) with jumps, we transform the comparison theorem to a viability problem in a closed convex set and obtain a necessary and sufficient condition under which the comparison theorem holds true.
关键词
生存性质 /
倒向随机微分方程 /
比较定理
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Key words
viability property /
BSDE /
comparison theorem
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参考文献
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