随机Lipschitz条件下BSDE解的连续性质

journal6 ›› 2010, Vol. 31 ›› Issue (1): 19-21.

随机Lipschitz条件下BSDE解的连续性质

(1.山东轻工业学院金融职业学院，山东济南250100；2.山东大学数学院，山东济南250100)

出版日期:2010-01-25 发布日期:2012-04-19
作者简介:宋丽（1979-），女，四川新津人，讲师，博士研究生，主要从事金融数学与金融工程研究.

Continuous Properties of BSDE with Stochastic Lipschitz Condition

(1.School of Finance,Shandong Light Industry School,Ji’nan 250100,China;2.School of Mathematics,Shandong University,Ji’nan 250100,China)

Online:2010-01-25 Published:2012-04-19

摘要/Abstract

摘要：论述了在随机Lipschitz条件下倒向随机微分方程解的性质.通过解的先验估计，分别得到了在随机Lipschitz条件下倒向随机微分方程的解关于终端值和生成元的连续性质.

关键词： 随机Lipschitz条件, 倒向随机微分方程, 连续性质

Abstract: This paper investigates the continuous properties of solutions of backwards stochastic differential equation with stochastic Lipschitz condition.By aprior estimate of solutions,the continuous properties of BSDE are obtained according to terminal data and generator.

Key words: stochastic Lipschitz condition, backward stochastic differential equation, continuous properties

宋丽. 随机Lipschitz条件下BSDE解的连续性质[J]. journal6, 2010, 31(1): 19-21.

SONG Li. Continuous Properties of BSDE with Stochastic Lipschitz Condition[J]. journal6, 2010, 31(1): 19-21.