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Stochastic Processes and their Applications,2007,117(9):1234-1250
2007年09月01日
A local strict comparison theorem and some converse comparison theorems are proved for reflected backward stochastic differential equations under suitable conditions.
Reflected backward stochastic differential equations Comparison theorem
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【期刊论文】FULLY COUPLED FORWARD-BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS WITH GENERAL MARTINGALE
Acta Mathematica Scientia,2006,26(3):443-450
2006年07月01日
The article first studies the fully coupled Forward-Backward Stochastic Differential Equations (FBSDEs) with the continuous local martingale. The article is mainly divided into two parts. In the first part, it considers Backward Stochastic Differential Equations (BSDEs) with the continuous local martingale. Then, on the basis of it, in the second part it considers the fully coupled FBSDEs with the continuous local martingale. It is proved that their solutions exist and are unique under the monotonicity conditions.
Backward stochastic differential equations local martingale predictable representation property of martingale
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