A Unified B-SPDE with Lévy Jumps: Well-Posedness, Algorithm with Numerics, and Applications(2)

The 4th Spring World Congress on Engineering and Technology (SCET 2015)——We study the adapted strong solution and design an algorithm with numerics for an unified backward stochastic partial differential equation (B-SPDE) with Lévy jumps. The B-SPDE is vector-valued, whose drift, diffusion, and jump coefficients may involve nonlinear and high-order partial differential operators. Under certain generalized local Lipschitz and linear growth conditions, the well-posedness (existence and uniqueness) of an adapted strong solution to the B-SPDE is proved over suitably constructed functional topological space.


关键词: 倒向随机微分方程 Lévy过程 适定性问题 数值计算 拓扑空间 The 4th Spring World Congress on Engineering and Technology (SCET 2015)

主讲人:Prof. Wanyang Dai 机构:Department of Mathematics and State Key Laboratory of Novel Software Technology, Nanjing University

时长:0:14:27 年代:2015年