具有均匀连续系数的 G 布朗运动驱动的双反射后向随机微分方程

IF 0.8 4区数学 Q3 STATISTICS & PROBABILITY

Journal of Theoretical Probability Pub Date : 2024-07-10 DOI:10.1007/s10959-024-01358-w

Shengqiu Sun

引用次数: 0

摘要

本文考虑由均匀连续系数的 G 布朗运动驱动的双反射后向随机微分方程。解的存在性可以通过单调收敛论证、线性化方法、惩罚法和 Picard 迭代法得到。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Doubly Reflected Backward Stochastic Differential Equations Driven by G-Brownian Motion with Uniformly Continuous Coefficients

In this paper, we consider doubly reflected backward stochastic differential equations driven by G-Brownian motion with uniformly continuous coefficients. The existence of solutions can be obtained by a monotone convergence argument, a linearization method, a penalization method and the method of Picard iteration.

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来源期刊

Journal of Theoretical Probability 数学-统计学与概率论

CiteScore

1.50

自引率

12.50%

发文量

审稿时长

6-12 weeks

期刊介绍： Journal of Theoretical Probability publishes high-quality, original papers in all areas of probability theory, including probability on semigroups, groups, vector spaces, other abstract structures, and random matrices. This multidisciplinary quarterly provides mathematicians and researchers in physics, engineering, statistics, financial mathematics, and computer science with a peer-reviewed forum for the exchange of vital ideas in the field of theoretical probability.