邓伟, 吴臻. 带反射边界的倒向随机微分方程解的收敛性[J]. 应用概率统计, 2011, 27(4): 346-358.
引用本文: 邓伟, 吴臻. 带反射边界的倒向随机微分方程解的收敛性[J]. 应用概率统计, 2011, 27(4): 346-358.
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Deng Wei, Wu Zhen. The Convergence Property of the Reflected Backward Stochastic Differential Equations[J]. Chinese Journal of Applied Probability and Statistics, 2011, 27(4): 346-358.
Citation: Deng Wei, Wu Zhen. The Convergence Property of the Reflected Backward Stochastic Differential Equations[J]. Chinese Journal of Applied Probability and Statistics, 2011, 27(4): 346-358.
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带反射边界的倒向随机微分方程解的收敛性

The Convergence Property of the Reflected Backward Stochastic Differential Equations

    摘要
  • 摘要: 对有界区间和无穷区间上带反射边界的倒向随机微分方程, 本文证明了其解的收敛性结果.

     

    Abstract: The convergence property of the solution for finite horizon reflected backward stochastic equations was obtained in this paper. The same conclusion was also proved with infinite horizon.

     

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