| Monotone Iterative Technique for Duffie-Epstein Type Backward Stochastic Differential Equations |
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| 作者姓名： | 孙晓君 吴玥 |
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| 作者单位： | Applied Mathematic Department, Donghua Universizy , Shanghai 200051 |
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| 基金项目： | Supported by Science and Technology Development Foundation of Shanghai Education Commission（No. 02 JG05044） |
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| 摘 要： | IntroductionRecently ,the interest for the backward stochastic dif-ferential equations (BSDEs) has beensteadily growing ,dueto the mathematical questions they posed,their relation toPDEs ,and applications to control and Finance .Pardoux and Peng19902]studied the following BSDEdriven by Brown motion:dy(t) =-f(t ,y(t) ,z(t))dt +z(t)dW(t)y( T) =Y(0)whereW(t)is Brown motion,(FtW)t≥0is the natural fil-tration of( Wt)t≥0. There are many results in the study ofthis type of BSDEs .Based …
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| 关 键 词： | Duffle-Epstein反相随机微分方程 条件期望 最大解 最小解 单调迭代技术 |
| 收稿时间： | 2004-03-09 |
Monotone Iterative Technique for Duffie-Epstein Type Backward Stochastic Differential Equations |
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| SUN Xiao-jun,WU Yue.Monotone Iterative Technique for Duffie-Epstein Type Backward Stochastic Differential Equations[J].Journal of Donghua University,2005,22(3):136-138. |
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| Authors: | SUN Xiao-jun WU Yue |
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| Abstract: | For Duffle-Epstein type Backward Stochastic Differential Equations, the comparison theorem is proved. Based on the comparison theorem, by monotone iterative technique, the existence of the minimal and maximal solutions of the equations are proved. |
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| Keywords: | Backward Stochastic Differential Equation Conditional Expectation Maximal Solution Minimal Solution |
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