随机微分方程终值问题的弱解(英)

The Weak Solutions for Stochastic Differential Equations with Terminal Conditions

设｛Wt．Ft．t∈［0．T］｝为概率空间（Ω，P）上的标准α维Brown运动，为由它生成的自然σ－代数流．本文讨论了如下随机微分方程终值问题弱解的存在性：其中ξ∈L2（Ω，P；Rn），g：［0，T」×Rn×Rnd→Rn为有界可测函数．此外，还讨论了它在金融市场期权定价问题中的应用．

Let (Ω,F,P) be a probability space and {Wt Ft. t ∈ [0,T] } be a standard d -dimensional Brownian motion defined on (Ω, F,P), where T is a positive constant and {Ft} denotes its natural filtration. In this paper we discuss the existence of weak solutions for stochastic differential equation with terminal conditions: Moreover, we discuss its application to the problem of pricing of options in financial markets.