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随机微分方程

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Key words: biomathematics; optimal harvesting problem; stochastic differential equation; mutualism model; harvesting cost

关键 词:生物数学;最优捕获问题;随机微分方程;互惠模型;捕获费用

In part 1, we explore some properties of solution y of a backward stochastic differential equation, such as comparison theorem, reverse comparison theorem and uniqueness theorem of generator.

第一部分研究了倒向随机微分方程的解中y的性质,其中包括解的比较定理,逆比较定理,生成元的唯一性定理。

Under the most elementary conditions for backward stochastic differential equation introduced by Peng S., we put forward and prove a general converse comparison theorem.

在由彭实戈引入的倒向随机微分方程的最基本的条件下,提出并证明了一个一般的反比较定理。

In this paper, we study the comparison theorem of backward doubly stochastic differ-ential equtions with continuous coefficient by Tanaka-Meyer formula.

利用Tanaka-Meyer公式研究了双重倒向随机微分方程在连续条件下的比较定理。

In this article, we discuss the solution ofbackward stochastic differential equation and the generalizes comparison theorem and concernedthe relation between g-Expection and the minimum expection.

本文主要讨论如上倒向随机微分方程的解的情况及相应的g-期望的性质以及其在数学金融方面的应用。

Therefore, the research on backward stochastic differential equation is of considerable theoretical significance and practical value.

因此, 研究倒向随机微分方程具有重要的理论意义和应用价值。

It is a long time for the research about stochastic differential equation theory and there were lots of useful results.

关于随机微分方程理论的研究已经有很长的历史,迄今得到了大量有用的结果。

With the development of science and technology, stochastic differential equations are more and more used in engineering.

随着科技的发展,随机微分方程理论越来越广泛地应用于模型的建立和分析中。

It mainly carries on the continuous process stochastic differential equation discretization of the research.

技术上的思想主要是将连续过程的随机微分方程离散化来进行研究。

Multivalued maximal monotone operator; Multivalued stochastic differential equation; Explicit solutions; Limit theorem; Denjoy's continuity; Non-Lipschitz coefficient; Large deviations

基础科学,数学,概率论、数理统计多值极大单调算子;多值随机微分方程;显式解;极限定理; Denjoy连续性;非Lipschitz系数;大偏差原理

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