搜索结果: 1-2 共查到“概率论 backward stochastic differential equations”相关记录2条 . 查询时间(0.093 秒)
Backward Stochastic Differential Equations with Discontinuous Coefficients
Backward stochastic differential equation discontinuous generator strong solution weak solution
2011/11/5
Exploring functional analysis methods, this paper gives an existence theorem of strong solutions for a class of backward stochastic differential equations(BSDEs) with left-Lipschitz coefficients (may ...
Backward Stochastic Differential Equations with Markov Chains and The Application: Homogenization of PDEs System
BSDE Markov chain weak convergence homogenization
2010/12/13
Stemmed from the derivation of the optimal control to a stochastic linearquadratic control problem with Markov jumps, we study one kind of backward stochastic differential equations (BSDEs) that the g...