倒向随机微分方程的一个稠密性了局.pdfVIP

Pardoux Peng Lipschitz Brown Lipschitz Lipschitz Lipschitz ℄ Lipschitz ℄ Lipschitz Z (ω ) = t m 1 (t)ξ (ω ) [t ,t ) i i i+1 i=0 (Duffie) Æ (Epstein) ” ”, Black-Schloes Lipschitz Black-Schloes I Abstract The general theory of backward stochastic differential equations (BSDE) has only re- cently developed. The nonlinear case began early in 1990s. Peng and Pardoux introduced a general form of BSDE under the Lipschitz condition and proved the existence and uniqueness of the solution to BSDE driven by the Brown motion adapted to the natural flow generated by Brown motion. After years the theory of BSDE has further develop- ment, widely used in many areas of mathematics and has become an important tool, for example, mathematical finance, stochastic optimal control policy and partial differential equations. On BSDE itself, under the situation with the Lipschitz coefficient there is much sys- tematic study and the results are perfect. Under Lipschitz condition , it seems not much study. We give a density result of the solution to BSDE under non-Lipschitz coefficient with Mao Xuerong’condition.This result promots that of TangQi’s. Chapter 3 introduces a class of stochastic differential utility of BSDE which are founded by fam