Forward-backward doubly stochastic differential equations with random jumps and stochastic partial d

论文发布时间：[2010-01-26] 范文大全编辑：Voive.net

所有作者：朱庆峰石玉峰

作者单位：山东财政学院统计与数理学院

论文摘要：A type of forward-backward doubly stochastic differential equations driven by Brownian motions and Poisson process (FBDSDEP in short) is studied。 Both the probabilistic interpretation for the solutions to a class of quasilinear stochastic partial differential-integral equations (SPDIEs in short) and stochastic Hamiltonian systems arising in stochastic optimal control problems with random jumps are treated with FBDSDEP。 Under some monotonicity assumptions， the existence and uniqueness results for measurable solutions of FBDSDEP are established via a method of continuation。 Furthermore， the continuity and differentiability of the solutions of FBDSDEP depending on parameters is discussed。 Finally， the probabilistic interpretation for the solutions to a class of quasilinear SPDIEs is given。

关键词： forward-backward doubly stochastic differential equations stochastic partial differential-integral e

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