一类无穷区间的倒向随机微分方程及其应用

A Backward Stochastic Differential Equations Based on Infinite Horizon and Its Application

摘要: 本文讨论了一类基于无穷区间的倒向随机微分方程解的存在唯一性及其性质. 由方程解定义一类非线性g-期望, 并讨论其在经济金融中的应用.

Abstract: This paper discusses the existence and uniqueness of the solutions of a backward stochastic differential equations in infinite horizon. By the solution, we define a nonlinear g-expectation and discuss its application in finance and economics.