| 倒向随机微分方程弱解（英） |
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| 引用本文： | 林清泉.倒向随机微分方程弱解（英）[J].应用概率统计,2002,18(2):205-208. |
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| 作者姓名： | 林清泉 |
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| 作者单位： | 中国人民大学财政金融学院,北京,100872 |
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| 基金项目： | Work supported by China Financial Policy Research Center, Renmin University of China. |
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| 摘 要： | 引入倒向随机微分方程弱解的概念，应用Girsanov变换，建立了两类倒向随机微分方程（0．1）和（0．2）弱解存在的等价性，由此得到倒向 随机微分方程弱解存在的几个充分条件。
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| 关 键 词： | 倒向随机微分方程 弱解 鞅 Girsanov变换 |
The Weak Solution For Backward Stochastic Differential Equations |
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| QINGQUAN LIN.The Weak Solution For Backward Stochastic Differential Equations[J].Chinese Journal of Applied Probability and Statisties,2002,18(2):205-208. |
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| Authors: | QINGQUAN LIN |
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| Abstract: | In this paper we introduce the notion of weak solution for Backward Stochastic Differential Equation:By Girsanov transformation, we estabilish the equivalence of existence of weak solutions for equation (0.1) andthat of equation:The result in 3] is a corollary of this conclusion. We obtain several sufficient conditions for existence of weaksolutions. |
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| Keywords: | : Barkward Stochastic Differential Equation weak solution martingale Cirsanov transforma-tion |
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