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
收藏
页码：595 / 601
页数：7
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