| A Local Limit Theorem for Solutions of BSDEs with Mao’s non-Lipschitz Generator |
| |
| 基金项目： | Supported by the National Natural Science Foundation of China （No. 10671205）, China Postdoctoral Science Foundation （No. 20060400158） and 973 Program of China （No. 2007CB814901） |
| |
| 摘 要： | This paper establishes a local limit theorem for solutions of backward stochastic differential equations with Mao＇s non-Lipschitz generator, which is similar to the limit theorem obtained by 3] under the Lipschitz assumption.
|
| 关 键 词： | 极限理论 微分方程 计算方法 随机微分 |
A local limit theorem for solutions of BSDEs with Mao’s non-Lipschitz generator |
| |
| Authors: | Yu-chun Liu Long Jiang Ying-ying Xu |
| |
| Institution: | [1]Department of Mathematics, China University of Mining and Technology, Xuzhou 221116, China [2]School of Mathematics, Fudan University, Shanghai 200433, China |
| |
| Abstract: | This paper establishes a local limit theorem for solutions of backward stochastic differential equations with Mao’s non-Lipschitz
generator, which is similar to the limit theorem obtained by 3] under the Lipschitz assumption.
Supported by the National Natural Science Foundation of China (No. 10671205), China Postdoctoral Science Foundation (No. 20060400158)
and 973 Program of China (No. 2007CB814901) |
| |
| Keywords: | Backward stochastic differential equation Mao’ s non-Lipschitz generator local limit theorem |
| 本文献已被 维普 SpringerLink 等数据库收录！ |
