一类非Lipschitz条件下BSDE解的估值不等式

Valuation Inequality of the Solution of the BSDE Solution with Non-Lipschitz Condition

在非Lipschitz条件下证明了倒向随机微分方程解的一致有界性及估值不等式,对Lipschitz条件下解的估值不等式做了推广。

In this paper ,we prove the uniform boundedness principle and the valuation inequality of the solution of the BSDE witth non-Lipschitz condition,which generalize the valuation inequality.