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: 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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