| 齐次、可加及线性g-估价 |
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| 引用本文： | 范胜君.齐次、可加及线性g-估价[J].数学进展,2008,37(1):67-77. |
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| 作者姓名： | 范胜君 |
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| 作者单位： | 中国矿业大学理学院,徐州,江苏,221008 |
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| 基金项目： | 国家自然科学基金
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中国矿业大学校科研和教改项目 |
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| 摘 要： | 彭实戈通过倒向随机微分方程介绍了g-估价的概念.一般来说,给定一个生成元g,对应的条件g-估价系统通常不是齐次,可加或线性的,那么我们自然要问:满足什么样条件的生成元g才能使得这些性质成立,本文回答了这一问题.
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| 关 键 词： | 倒向随机微分方程 g-估价 条件g-估价 线性g-估价 backward stochastic differential equation g-evaluation conditional gevaluation linear g-evaluation 线性 估价 Homogeneous paper conditions generator properties hold true yields natural question linear conditional system homogeneous General speaking introduced stochastic |
| 文章编号： | 1000-0917（2008）01-0067-11 |
| 收稿时间： | 2004-12-07 |
| 修稿时间： | 2007-04-05 |
Homogeneous,Additional and Linear g-evaluation |
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| FAN Shengjun.Homogeneous,Additional and Linear g-evaluation[J].Advances in Mathematics,2008,37(1):67-77. |
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| Authors: | FAN Shengjun |
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| Abstract: | Peng S. introduced the notion of g-evaluation by backward stochastic differential equation. General speaking,given g,the conditional g-evaluation system is usually not homogeneous,additional or linear,this yields a natural question:what conditions can be imposed on the generator g such that these properties hold true? The aim of this paper is to answer this question. |
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| Keywords: | backward stochastic differential equation g-evaluation conditional g- evaluation linear g-evaluation |
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