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| 一类倒向随机微分方程的适应解 | |
| 引用本文： | 范胜君,朱开永,吴祝武,胡建华. 一类倒向随机微分方程的适应解[J]. 徐州师范大学学报(自然科学版), 2007, 25(3): 40-42 |
| 作者姓名： | 范胜君 朱开永 吴祝武 胡建华 |
| 作者单位： | 中国矿业大学 理学院,江苏,徐州,221008 |
| 基金项目： | 国家自然科学基金;中国矿业大学校科研和教改项目 |
| 摘 要： | 利用指数鞅的特性和Ito公式,得到一类倒向随机微分方程存在平方可积的适应解的充要条件. |
| 关 键 词： | 倒向随机微分方程 指数鞅 Ito公式 |
| 文章编号： | 1007-6573（2007）03-0040-03 |
| 修稿时间： | 2007-01-16 |
Adapted Solution of a Class of BSDE |
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| FAN Sheng-jun,ZHU Kai-yong,WU Zhu-wu,HU Jian-hua. Adapted Solution of a Class of BSDE[J]. Journal of Xuzhou Normal University(Natural Science Edition), 2007, 25(3): 40-42 | |
| Authors: | FAN Sheng-jun ZHU Kai-yong WU Zhu-wu HU Jian-hua |
| Affiliation: | College of Science, China University of Mining and Technology, Xuzhou, Jiangsu, 221008, China |
| Abstract: | Making use of the Ito formula and the character of exponential martingale,this paper obtains a necessary and sufficient condition under which there exists an adapted and square-integrable solution for a class of backward stochastic differential equations. |
| Keywords: | backward stochastic differential equation exponential martingale Ito formula |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ | |