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| 倒向随机微分方程的Malliavin微分和共单调定理 | |
| 引用本文： | 张慧,朱庆峰,来翔.倒向随机微分方程的Malliavin微分和共单调定理[J].应用概率统计,2010,26(4):337-346. |
| 作者姓名： | 张慧 朱庆峰 来翔 |
| 作者单位： | 1. 山东财政学院统计与数理学院,济南,250014;山东大学经济学院,济南,250100 2. 山东财政学院统计与数理学院,济南,250014 3. 山东大学数学与系统科学院,济南,250100 |
| 基金项目： | supported by Natural Science Foundation of China (10671205); Natural Science Foundationof Shandong Province (Q2007A03) |
| 摘 要： | 本文利用Malliavin微分的理论研究了倒向随机微分方程的解$(y,z)$,
首先利用$y$的Malliavin微分得到了一种比较$z$的方法,
然后利用该方法得到了含有随机生成元的倒向随机微分方程的共单调定理. |
| 关 键 词： | 倒向随机微分方程(BSDE) Malliavin微分 共单调定理 |
Malliavin Derivative and Comonotonic Theorems for BSDEs |
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| ZHANG HUI,ZHU QINGFENG,LAI XIANG.Malliavin Derivative and Comonotonic Theorems for BSDEs[J].Chinese Journal of Applied Probability and Statisties,2010,26(4):337-346. | |
| Authors: | ZHANG HUI ZHU QINGFENG LAI XIANG |
| Institution: | School of Statistics and Mathematics,Shandong University of Finance School of Economics, Shandong University School of Mathematics and System Sciences,Shandong University |
| Abstract: | In this paper, the theory of Malliavin derivative has been applied to explore the solution $(y,z)$ of BSDEs. First a method of comparing part $z$ has been got via the Malliavin derivative of part $y$. As an application of this method, comonotonic theorems of BSDEs, which consist of stochastic generators, have been obtained. |
| Keywords: | Backward stochastic differential equation (BSDE) Malliavin derivative comonotonic theorem |
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