SMALLEST G-SUPERSOLUTION FOR BSDE WITH CONTINUOUS DRIFT COEFFICIENTS

LIN QINGQUAN; PENG SHIGE

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SMALLEST G-SUPERSOLUTION FOR BSDE WITH CONTINUOUS DRIFT COEFFICIENTS

机译：具有连续漂移系数的BSDE的最小G超解

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摘要

The authors prove the existence and uniqueness of smallest g-supersolution with an equality constraint on (y,z) for one demensional stochastic differential equations whose drift coefficients are continuous and linearly growing, and whose terminal conditions are square integrable.

机译：作者证明了对于一个漂移系数为连续且线性增长且终端条件为平方可积的多维随机微分方程，在（y，z）上具有等式约束的最小g超解的存在和唯一性。

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来源
《Chinese Annals of Mathematics. Series B》 |2000年第3期|p.359-366|共8页
作者
LIN QINGQUAN; PENG SHIGE;
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原文格式 PDF
正文语种 eng
中图分类数学;
关键词
Backward stochastic differentail equation; g-supersolution; Constraint;

机译：后向随机微分方程;g-超解;约束;

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1. SMALLEST g-SUPERSOLUTION FOR BSDE WITH CONTINUOUS DRIFT COEFFICIENTS [J] . 数学年刊B辑（英文版） . 2000,第003期

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