Backward Stochastic Differential Equations with Discontinuous Coefficients
首发时间:2009-04-08
Abstract:Exploring functional analysis methods, this paper gives an existence theorem of strong solutions for a class of backward stochastic differential equations(BSDEs) with left-Lipschitz coefficients (may be discontinuous in y); then by Girsanov transform, we establishes an existence theorem of weak solutions for a class of backward stochastic differential equation with fully discontinuous coefficient.
keywords: Backward stochastic differential equation discontinuous generator strong solution weak solution
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Backward Stochastic Differential Equations with Discontinuous Coefficients
摘要:Exploring functional analysis methods, this paper gives an existence theorem of strong solutions for a class of backward stochastic differential equations(BSDEs) with left-Lipschitz coefficients (may be discontinuous in y); then by Girsanov transform, we establishes an existence theorem of weak solutions for a class of backward stochastic differential equation with fully discontinuous coefficient.
关键词: Backward stochastic differential equation; discontinuous generator; strong solution; weak solution
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No.3115222975112391****
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Backward Stochastic Differential Equations with Discontinuous Coefficients
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