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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.

The Weak Solution For Backward Stochastic DifferentialEquations

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Work supported by China Financial Policy Research Center, Renmin University of China.

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  • Received Date: January 10, 2001
  • Revised Date: March 11, 2001
  • In this paper we introduce the notion of weak solution for Backward Stochastic Differential Equation: Yt=ξ+Ttg(s,Ys,Zs)dsTtZsdWs (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]dsTtZsdWs (0.2) The result in [3] is a corollary of this conclusion. We obtain several sufficient conditions for existence of weaksolutions.

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