Representation theorem of generators for BSDEs with infinite time intervals
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摘要: 在生成元\,$g$\,关于\,$(y,z)$\,满足对\,$t$\,非一致的\,Lipschitz\,条件下, 建立了有限或无限时间终端 倒向随机微分方程\,(简称为\,BSDE\,)\,生成元的一个表示定理, 并且得到了此条件下\,BSDE\,解 的一个逆比较定理, 推广了一些已有结果.
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关键词:
- 倒向随机微分方程 /
- 非一致\,Lipschitz\,条件 /
- 表示定理 /
- 逆比较定理
Abstract: Under the non-uniform Lipschitz condition (in $t$) of the generator $g$ with respect to $(y,z)$ for backward stochastic differential equations (BSDEs), a representation theorem of generators and a converse theorem of solutions were established for BSDEs with a finite or an infinite time intervals, which extend some existing results. -
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