具有一个连续障碍和准线性增长发生器的反射 BSDE 的 Lp 解法

IF 0.9 4区 数学 Q3 MATHEMATICS, APPLIED
Sheng-jun Fan
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引用次数: 0

摘要

本文致力于求解具有一个连续势垒和一个准线性增长发生器 g 的反射后向随机微分方程(简称 BSDE),该发生器 g 在(y,z)中具有线性增长,但在 y < 0 的情况下,其上部方向除外,它比通常的线性增长发生器更通用。通过证明惩罚方案的收敛性,我们证明了反射 BSDE 的最小 Lp (p > 1) 解的存在性和比较定理。我们还证明了最小 Lp 解可以通过某些反射 BSDE 的 Lp 解序列近似得到,该序列具有 Lipschitz 发生器。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Lp Solution of Reflected BSDEs with One Continuous Barrier and Quasi-linear Growth Generators

This paper is devoted to solving a reflected backward stochastic differential equation (BSDE in short) with one continuous barrier and a quasi-linear growth generator g, which has a linear growth in (y, z), except the upper direction in case of y < 0, and is more general than the usual linear growth generator. By showing the convergence of a penalization scheme we prove existence and comparison theorem of the minimal Lp (p > 1) solutions for the reflected BSDEs. We also prove that the minimal Lp solution can be approximated by a sequence of Lp solutions of certain reflected BSDEs with Lipschitz generators.

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来源期刊
CiteScore
1.30
自引率
0.00%
发文量
70
审稿时长
3.0 months
期刊介绍: Acta Mathematicae Applicatae Sinica (English Series) is a quarterly journal established by the Chinese Mathematical Society. The journal publishes high quality research papers from all branches of applied mathematics, and particularly welcomes those from partial differential equations, computational mathematics, applied probability, mathematical finance, statistics, dynamical systems, optimization and management science.
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