几乎处处意义下倒向随机微分方程解对终值的连续性

An Almost Surely Continuous Property on Solutions of Backward Stochastic Differential Equation

彭实戈在建立了倒向随机微分方程(BSDE)解的存在唯一性定理之后,证明了在L2 意义下BSDE解对终值连续依赖的结果.本文在此基础上,进一步得到:加上一个适当的条件后,几乎处处意义下BSDE解对终值有连续依赖的性质.

After setting up the existence and uniqueness of solutions theorem of backward stochastic differential equation (BSDE), Peng Shige proved continuous result on solutions of BSDE in L^2.In this paper, under a proper condition an almost surely continuous property on solutions of BSDE is obtained.