Lin Xiangyun, Wang Xiangrong, Zhang Rui. A Backward Stochastic Differential Equations Based on Infinite Horizon and Its Application[J]. Chinese Journal of Applied Probability and Statistics, 2008, 24(4): 345-353.
Citation: Lin Xiangyun, Wang Xiangrong, Zhang Rui. A Backward Stochastic Differential Equations Based on Infinite Horizon and Its Application[J]. Chinese Journal of Applied Probability and Statistics, 2008, 24(4): 345-353.
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A Backward Stochastic Differential Equations Based on Infinite Horizon and Its Application

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  • 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.
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