应用概率统计
應用概率統計
응용개솔통계
CHINESE JOURNAL OF APPLIED PROBABILITY AND STATISTICS
2010年
4期
337-346
,共10页
倒向随机微分方程(BSDE)%Malliavin微分%共单调定理
倒嚮隨機微分方程(BSDE)%Malliavin微分%共單調定理
도향수궤미분방정(BSDE)%Malliavin미분%공단조정리
Backward stochastic differential equation (BSDE)%Malliavin derivative%comonotonic theorem
本文利用Malliavin微分的理论研究了倒向随机微分方程的解(y,z),首先利用y的Malliavin微分得到了一种比较z的方法,然后利用该方法得到了含有随机生成元的倒向随机微分方程的共单调定理.
本文利用Malliavin微分的理論研究瞭倒嚮隨機微分方程的解(y,z),首先利用y的Malliavin微分得到瞭一種比較z的方法,然後利用該方法得到瞭含有隨機生成元的倒嚮隨機微分方程的共單調定理.
본문이용Malliavin미분적이론연구료도향수궤미분방정적해(y,z),수선이용y적Malliavin미분득도료일충비교z적방법,연후이용해방법득도료함유수궤생성원적도향수궤미분방정적공단조정리.
In this paper, the theory of Malliavin derivative has been applied to explore the solution (y, z)of BSDEs. First a method of comparing part z has been got via the Malliavin derivative of part y. As an application of this method, comonotonic theorems of BSDEs, which consist of stochastic generators, have been obtained.
