摘要
引进反 Brown 运动,反鞅等概念,并利用 Lyapunov 函数方法,讨论了如下形式的 It型倒向随机微分方程{dy_t=b(y_t,t)dt-σ(y_t,t)dw_t,t∈[0,T] y(T)=ζ a.s 的随机稳定性,得到了判据.
Some concepts such as inverse brownian motion,inverse martingle are introduced,and relative properties are investigated.By the method of Lyapunov function, the stochastic stability of backward stochatic differenttiai equation(BSDE)of It type is studied as follow
出处
《北京科技大学学报》
EI
CAS
CSCD
北大核心
1998年第4期390-393,共4页
Journal of University of Science and Technology Beijing
基金
国家自然科学基金资助课题(No.19671004)
关键词
随机微分方程
反Brown运动
随机稳定性
backward stochastic differential equation
inverse Brown motion
inverse martingle
stochastic stability
