搜索结果: 1-7 共查到“数学 backward stochastic differential equations”相关记录7条 . 查询时间(0.115 秒)
Backward Stochastic Differential Equations with Discontinuous Coefficients
Backward stochastic differential equation discontinuous generator strong solution weak solution
2011/11/5
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 ...
On backward stochastic differential equations approach to valuation of American options
Backward stochastic differential equation Obstacle problem American option
2011/2/24
We consider the problem of valuation of American (call and put) options written on a dividend paying stock governed by the geometric Brownian motion. We show that the value function has two different ...
On Girsanov's transform for backward stochastic differential equations
stochastic differential equations math
2010/11/19
By using a simple observation that the density processes appearing in Ito's martingale representation theorem are invariant under the change of measures, we establish a non-linear version of the Came...
On the continuous dependence of the minimal solution of constrained backward stochastic differential equations
the minimal solution stochastic differential equations
2010/11/15
It is well-known that solutions of backward differential equations are continuously dependent on the terminal value. Since the increasing part of the minimal solution of a constrained backward differe...
Backward stochastic differential equations under super linear G-expectation and associated Hamilton-Jacobi-Bellman equations
G-Brownian motion super linear expectation normal distribution backward stochastic differential equations
2010/11/30
This paper first studies super linear G-expectation. Uniqueness and existence theorem for backward stochastic differential equations (BSDEs) under super linear expectation is stablished to provide pro...
Backward Stochastic Differential Equations with Markov Chains and The Application: Homogenization of PDEs System
BSDE Markov chain weak convergence homogenization
2010/12/13
Stemmed from the derivation of the optimal control to a stochastic linearquadratic control problem with Markov jumps, we study one kind of backward stochastic differential equations (BSDEs) that the g...
Infinite Interval Backward Stochastic Differential Equations in the Plane
two-parameter mixed type BSDE
2007/12/10
This paper studies the existence and uniqueness of solution of infinite interval backward stochastic differential equation (BSDE) in the plane driven by a Brownian sheet.