[1]林　琳,李　庚.分数布朗运动驱动的倒向随机微分方程的Lp解（英文）[J].南京师范大学学报(自然科学版),2015,38(04):14.
　Lin Lin,Li Geng.Lp Solutions of Backward Stochastic Differential Equations Driven by Fractional Brownian Motions[J].Journal of Nanjing Normal University(Natural Science Edition),2015,38(04):14.
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分数布朗运动驱动的倒向随机微分方程的Lp解（英文）()
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《南京师范大学学报》（自然科学版）[ISSN:1001-4616/CN:32-1239/N]

卷:
第38卷
期数:
2015年04期
页码:
14
栏目:
数学
出版日期:
2015-12-30

文章信息/Info

Title:
Lp Solutions of Backward Stochastic Differential Equations Driven by Fractional Brownian Motions
作者:
林　琳1; 李　庚2
（1.南京师范大学数学科学学院，江苏 南京 210023）（2.复旦大学数学科学学院，上海 200433
Author(s):
Lin Lin1; Li Geng2
1.School of Mathematical Sciences，Nanjing Normal University，Nanjing 210023，China)（2.School of Mathematical Sciences，Fudan University，Shanghai 200433，China
关键词:
倒向随机微分方程; 分数次布朗运动; Lp（p≥2）解; 局部化方法
Keywords:
backward stochastic differential equations; fractional Brownian motions; [Lpp≥2] solutions; localization method
分类号:
62M05，60H10
文献标志码:
A
摘要:
分数次布朗运动驱动的倒向随机微分方程在金融数学、偏微分方程等领域有广泛应用. 本文通过局部化方法以及推广的Ito公式，考虑了在一定条件下，分数布朗运动驱动的倒向随机微分方程中的Lp估计.
Abstract:
Recently，backward stochastic differential equations driven by fractional Brownian motion play an important role in mathematical finance，partial differential equations and other fields. In our paper，by the localization method and the generalized Ito formula，we consider the [Lpp≥2]solutions of backward stochastic differential equations driven by fractional Brownian motions under reasonable assumptions.

参考文献/References:

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备注/Memo

备注/Memo:
Received data：2015-03-16.
Foundation item：Supported by the NSF of the Jiangsu Higher Education Committee of China（14KJB110016）.
Corresponding author：Li Geng，granduate student，majored in backward stochastic differential equation. E-mail：doubleman_li@sina.com
更新日期/Last Update: 2015-12-30