倒向随机微分方程生成元的表示定理及其应用
A Representation Theorem for Generators of Backward Stochastic Differential Equations and Its Application
-
摘要: 本文建立了关于局部L2-有界的倒向随机微分方程生成元的表示定理,此定理推广了Co-quet等人的一个结果.应用该定理,本文给出了倒向随机微分方程的生成元是凹生成元的一个充分必要条件.Abstract: This paper establishes a representation theorem for locally L2-bounded generators of backward stochastic differential equations (BSDEs), which extends a result of Coquet et al. By this representation theorem, the author obtains a necessary and sufficient condition for concave BSDEs.
下载: