由继续鞅驱动的耦合的正倒向随机微分方程.pdfVIP

Æ Bismut 1978 Pardoux Peng 1990 Æ Lipschitz ÆÆ Æ (℄) Æ Æ Æ Brown Brown Æ Æ Brown Æ Brown Æ Antonelli S.Peng Zhen.Wu Æ ÆÆ Æ Æ℄ Æ Feynman-kac Æ Peng ÆÆ Feynman-kac Feynman-kac ÆÆ Ocone Ocone Æ ÆÆÆ Feynman-kac Feynman-kac Ocone I Abstract The linear backward stochastic differential equation was first proposed by Bismut in 1978. Then Pardoux and Peng first solved the existence and uniqueness theorem of the solution of the nonlinear BSDE under Lipschitz condition in 1990. From then on,many people make further study on BSDE and its applications in mathematical finance, stochastic control ,partial differential equation(PDE),stochastic differential games and economy, which develop BSDE further.Now the theory of BSDE is not only widely considered as the main tool of study financial mathematial(for example,the problem of pricing of options and derivative securities) but also the efficient tool of studying stochastic control,stochastic games,the problem of probabilistic represention of solu- tion of nonlinear PDE and so on.The classical BSDE is driven by Brownian Motion, but Brownian Motion is an ideal stochastic model which ristricts the applications of the classical BSDE. In this paper,we generalize the classical BSDE essentially,its noise source by the Brownian Motion for continuous martingale,discussed some issues of Coupled Forward- Backward Stochastic Differential Equations driven by tne continuous martingale. Coupled Forward-Backward Stochastic Differential Equations with Brownian Mo- tion was first proposed by Antonelli. Since S.Peng and Zhen.Wu proposed the exis- tence and uniqueness theorem of the solution of Coupled Forward-Backward Stochas- tic Differentia