| 一类非Lipschitz条件下的随机微分效用 |
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| 引用本文： | 钱静静,陈娟. 一类非Lipschitz条件下的随机微分效用[J]. 科技信息, 2011, 0(9): I0139-I0140 |
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| 作者姓名： | 钱静静 陈娟 |
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| 作者单位： | 泰山医学院信息工程学院,山东泰安271000 |
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| 摘 要： | 利用一类系数不满足Lipschitz条件的倒向随机微分方程,推广了由Duffie和Epstein提出的随机微分效用概念。
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| 关 键 词： | 随机微分效用 效用函数 倒向随机微分方程 |
A Kind of Stochastic Differential Utility |
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| QIAN Jing-jing,CHEN Juan. A Kind of Stochastic Differential Utility[J]. Science, 2011, 0(9): I0139-I0140 |
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| Authors: | QIAN Jing-jing CHEN Juan |
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| Affiliation: | (College of Information Engineering, Taishan Medical University, Tai＇an Shandong, 271000, China) |
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| Abstract: | Making use of a kind of BSDEs, we generalize the notion of stochastic differential utility given by Duffle and Epstein. |
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| Keywords: | Stochastic differential utility Utility function BSDEs |
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