倒向随机微分方程的Malliavin微分和共单调定理

Malliavin Derivative and Comonotonic Theorems for BSDEs

  • 摘要: 本文利用Malliavin微分的理论研究了倒向随机微分方程的解(y,z), 首先利用y的Malliavin微分得到了一种比较z的方法, 然后利用该方法得到了含有随机生成元的倒向随机微分方程的共单调定理.

     

    Abstract: In this paper, the theory of Malliavin derivative has been applied to explore the solution (y,z) of BSDEs. First a method of comparing part z has been got via the Malliavin derivative of part y. As an application of this method, comonotonic theorems of BSDEs, which consist of stochastic generators, have been obtained.

     

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