LIN Qingquan, . The Weak Solution For Backward Stochastic DifferentialEquations[J]. Chinese Journal of Applied Probability and Statistics, 2002, 18(2): 205-208.
Citation:
LIN Qingquan, . The Weak Solution For Backward Stochastic DifferentialEquations[J]. Chinese Journal of Applied Probability and Statistics, 2002, 18(2): 205-208.
LIN Qingquan, . The Weak Solution For Backward Stochastic DifferentialEquations[J]. Chinese Journal of Applied Probability and Statistics, 2002, 18(2): 205-208.
Citation:
LIN Qingquan, . The Weak Solution For Backward Stochastic DifferentialEquations[J]. Chinese Journal of Applied Probability and Statistics, 2002, 18(2): 205-208.
In this paper we introduce the notion of weak solution for Backward Stochastic Differential Equation: Yt=ξ+∫Ttg(s,Ys,Zs)ds−∫TtZsdWs (0.1) By Girsanov transformation, we estabilish the equivalence of existence of weak solutions for equation (0.1) and that of equation: Yt=ξ+∫Tt[g(s,Ys,Zs)+ZsΦs]ds−∫TtZsdWs (0.2) The result in [3] is a corollary of this conclusion. We obtain several sufficient conditions for existence of weaksolutions.