On the comparison theorem for $1$-dimensional generalized anticipated BSDEs
首发时间:2014-11-26
Abstract:In this paper, we will establish a general comparison theoremfor the following $1$-dimensional generalized anticipated backward stochastic differential equation(GABSDE):egin{equation*}left{egin{tabular}{rlll}$-dY_t$ &=& $f(t, {Y_r}_{rin [t, T+C]}, {Z_r}_{rin [t,T+C]})dt-Z_tdB_t, $ & $tin[0, T];$\$Y_t$ &=& $xi_t, $ & $tin[T, T+C];$\$Z_t$ &=& $eta_t, $ & $tin[T, T+C].$end{tabular} ight.end{equation*}
keywords: stochastic process generalized anticipated backward stochastic differential equation backward stochastic differential equation comparison theorem.
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一维推广的超前BSDE的比较定理
摘要:本文将为如下一维推广的超前倒向随机微分方程(GABSDE)建立一个比较定理:egin{equation*}left{egin{tabular}{rlll}$-dY_t$ &=& $f(t, {Y_r}_{rin [t, T+C]}, {Z_r}_{rin [t,T+C]})dt-Z_tdB_t, $ & $tin[0, T];$\$Y_t$ &=& $xi_t, $ & $tin[T, T+C];$\$Z_t$ &=& $eta_t, $ & $tin[T, T+C].$end{tabular} ight.end{equation*}
关键词: 随机过程 推广的超前倒向随机微分方程 倒向随机微分方程 比较定理。
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No.4619509100909514****
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