| 一类无穷区间的倒向随机微分方程及其应用 |
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| 引用本文： | 蔺香运,王向荣,张瑞.一类无穷区间的倒向随机微分方程及其应用[J].应用概率统计,2008,24(4):345-353. |
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| 作者姓名： | 蔺香运 王向荣 张瑞 |
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| 作者单位： | 1. 山东科技大学理学院,青岛,266510
2. 山东科技大学信息学院,青岛,266510 |
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| 基金项目： | 国家自然科学基金，山东科技大学春蕾计划资助课题 |
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| 摘 要： | 本文讨论了一类基于无穷区间的倒向随机微分方程解的存在唯一性及其性质. 由方程解定义一类非线性g-期望, 并讨论其在经济金融中的应用.
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| 关 键 词： | 倒向随机微分方程 g-期望 不确定厌恶. |
A Backward Stochastic Differential Equations Based on Infinite Horizon and Its Application |
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| Lin Xiangyun,Wang Xiangrong,Zhang Ruo.A Backward Stochastic Differential Equations Based on Infinite Horizon and Its Application[J].Chinese Journal of Applied Probability and Statisties,2008,24(4):345-353. |
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| Authors: | Lin Xiangyun Wang Xiangrong Zhang Ruo |
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| Institution: | College of Science, Shandong University of Science and technology; College of Information Science and Engineering, Shandong University of Science and technology |
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| Abstract: | This paper discusses the existence and uniqueness of the solutions of a backward stochastic differential equations in infinite horizon. By the solution, we define a nonlinear g-expectation and discuss its application in finance and economics. |
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| Keywords: | Backward stochastic differential equation g-expectation uncertainty aversion |
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