CAJ | 학술논문

本文研究了由满足某种矩条件下Lévy过程相应的Teugel鞅及与之独立的布朗运动驱动的倒向随机微分方程,给出了飘逸系数满足非Lipschitz条件下解的存在唯一及稳定性结论.解的存在性是通过Picard迭代法给出的.解的L2收敛性是在飘逸系数弱于L2收敛意义下所得到的.
본문연구료유만족모충구조건하Lévy과정상응적Teugel앙급여지독립적포랑운동구동적도향수궤미분방정,급출료표일계수만족비Lipschitz조건하해적존재유일급은정성결론.해적존재성시통과Picard질대법급출적.해적L2수렴성시재표일계수약우L2수렴의의하소득도적.
We deal with backward stochastic differential equations (BSDEs in short) driven by independent Brownian motion. We derive the existence, uniqueness and stability of solutions for these equations under non-Lipschitz condition on the coefficients. And the existence of the solutions is obtained by a Picard-type iteration. The strong L2 convergence of solutions is derived under a weaker condition than the strong L2 convergence on the coefficients.