倒向双随机微分方程在随机微分效用上的运用.pdfVIP

( SDU) Duffie Epstein[1] ( BDSDEs) Pardoux Peng[2] 1994 {B } Itoˆ t {W } Itoˆ Lipschitz t BDSDEs 2005 Shi yufeng, Gu yanling, Liu kai Pardoux [3] Peng BDSDEs . Æ Æ SDU Æ I Abstract The theory of stochastic differential utility (SDU for short) has been developed only recently, beginning in the early 1990s. In a general form, BSDEs were introduced by Duffie and Epstein [1]. A class of backward doubly stochastic differential equations (BDSDEs for short) were introuced by Pardoux and Peng [2] in 1994, with two different directions of sto- chastic integrals, i.e.. The equations involve both a standard (forward) stochastic integral dW and a backward stochastic integral dB . They proved the existence and t t uniqueness of solution for BDSDEs under uniformly Lipschitz conditions. For one- dimensional BDSDEs, Shi yufeng, Gu yanling and Liu kai proved the comparison theorem of BDSDEs [3] under the production of Pardoux and Peng in 2005. The present thesis mainly consists of third parts. In the first section, I shall introduce backward doubly stochastic differential equa- tion. Firstly, I will give knowledge about BSDEs. Secondly, I will give elementary symbols, the form o