Forward-backward stochastic differential equations with Brownian motion and poisson process

被引：3
|
作者：
Wu Zhen
机构：
[1] Shandong University,School of Mathematics and Systems Science
来源：
Acta Mathematicae Applicatae Sinica | 1999年 / 15卷 / 4期
关键词：
Stochastic differential equations; stochastic analysis; random measure; Poisson process;
D O I：
10.1007/BF02684045
中图分类号：
学科分类号：
摘要：
Existence and uniqueness results of the solution to fully coupled forward-backward stochastic differential equations with Brownian motion and Poisson process are obtained. Many stochastic Hamilton systems arising in stochastic optimal control systems with random jump and in mathematical finance with security price discontinuously changing can be treated with these results. The continuity of the solution depending on parameters is also proved in this paper.
引用
收藏
页码：433 / 443
页数：10
相关论文
共 50 条
12345