欢迎访问中国科学院大学学报,今天是

中国科学院大学学报 ›› 2011, Vol. 28 ›› Issue (1): 1-4.DOI: 10.7523/j.issn.2095-6134.2011.1.001

• 论文 •    下一篇

一类特殊半鞅驱动的随机微分方程解的存在唯一性

曹桂兰   

  1. 中国科学院研究生院数学科学学院,北京 100049
  • 收稿日期:2010-03-09 修回日期:2010-05-06 发布日期:2011-01-20
  • 基金资助:

    Supported partially by NSF(10826073,10901161) of China and the President Fund of GUCAS

Existence and pathwise uniqueness of solutions to SDE driven by a class of special semimartingale

CAO Gui-Lan   

  1. School of Mathematical Sciences,Graduate University, Chinese Academy of Sciences,Beijing 100049,China
  • Received:2010-03-09 Revised:2010-05-06 Published:2011-01-20

摘要:

研究了随机微分方程dXt=F(X)tdZt解的存在唯一性,其中F为非Lipschitz系数,Z属于一类特殊半鞅.

关键词: 存在性, 轨道唯一性, 特殊半鞅, 逐次逼近

Abstract:

We prove the existence and uniqueness of solutions to stochastic differential equations dXt=F(X)tdZt,where F is non-Lipschitz coefficient and Z is in a kind of special semimartingale.

Key words: existence, pathwise uniqueness, special semimartingale, successive approximation

中图分类号: