A general backward stochastic differential equation

被引：0

作者：

Shi, Chunhua ^{[1
]}

机构：

[1] Tsing Hua Univ, Dept Math Sci, Beijing 100084, Peoples R China

来源：

Proceedings of the Fourth International Conference on Information and Management Sciences | 2005年 / 4卷

关键词：

bSDE; stochastic integral; martingale decomposition; theorem;

D O I：

暂无

中图分类号：

TP39 [计算机的应用];

学科分类号：

081203 ; 0835 ;

摘要：

In this paper, a general result of existence and uniqueness for Backward Stochastic Differential Equations is given in a general complete filtration satisfying. common conditions. The assumption of the coefficients is relaxed. Two lemmas about the estimates of the beta-norm of the solution and the beta*-norm of the one are first given, then a martingale decomposition theorem and a fixed point theorem are used to proof the main result. This model shows the macrostructure of finance market.

引用

页码：595 / 601

页数：7

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