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超前倒向随机微分方程的反射解及相应的最优停止问题 被引量：1

Reflected solutions of anticipated BSDEs and related optimal stopping time problem
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摘要 证明了超前倒向随机微分方程的反射解的存在惟一性,进而解决了一类最优停止问题。 The existence and uniqueness of the reflected solutions of anticipated BSDEs was proved, and an optimal stopping time problem was solved as an application.
作者 许晓明
机构地区 南京师范大学数学科学学院金融与统计研究所
出处 《山东大学学报（理学版）》 CAS CSCD 北大核心 2013年第6期14-17,28,共5页 Journal of Shandong University(Natural Science)
基金 高等学校博士学科点专项科研基金资助项目(20113207120002) 数学天元基金资助项目(11126050)
关键词 超前倒向随机微分方程 反射解 最优停止问题 anticipated backward stochastic differential equation reflected solution optimal stopping time problem
分类号 O211.63 [理学—概率论与数理统计]
  • 相关文献

参考文献8

  • 1PARDOUX E, PENG Shige. Adapted solution of a backward stochastic differential equation [ J ]. Systems and Control Letters, 1990, 14:55-61.
  • 2EL KAROUI N, PENG Shige, QUENEZ M C. Backward stochastic differential equations in finance [ J ]. Mathematical Finance, 1997, 7( 1 ) :1-71.
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二级参考文献11

  • 1范胜君,朱开永,吴祝武.倒向随机微分方程的一个反比较定理[J].徐州师范大学学报（自然科学版）,2005,23(4):41-44. 被引量：2
  • 2Hu Y,Peng S G.On the comparison theorem for multidimensional BSDEs. C R Acad Sci Paris Ser I Math . 2006
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  • 9Peng S.A generalized dynamic programming principle and Hamilton-Jacobi-Bellman equation. Stochastics . 1992
  • 10El Karoui N,Pen S,Quenez MC.Backward stochastic differential equations in finance. Mathematical Finance . 1997

共引文献5

同被引文献7

  • 1PARDOUX E, PENG S G. Adapted solution of abackward stochastic differential equations[J]. Syst ContLett, 1990, 14(1):55-61.
  • 2LEPELTIER J P, SAN M J. Backward stochasticdifferential equations with continuous coefficient [J].Stat Prob Lett, 1997, 32(4):425-430.
  • 3JIA Guangyan. On the set of solutions of a BSDE withcontinuous coefficient[J]. C R Acad Sci Paris ,2007, 344(6):395-397.
  • 4EL Karouin, PENG S G, QUENEZ M C. Backwardstochastic differential equations in finance[J]. Math Fin,1997, 7(1):1-71.
  • 5LIU J C, REN J G. Comparison theorem for solutions ofbackward stochastic differential equations withcontinuous coefficients[J]. Stat Prob Lett, 2002, 56(1):93-100.
  • 6PENG S G, YANG Z. Anticipated backward stochasticdifferential equations[J]. Ann Prob, 2009, 37(3):877-902.
  • 7陈丽.超前BSDE中Z的性质及其在时滞随机控制中的应用[J].山东大学学报（理学版）,2010,45(4):16-20. 被引量：1

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山东大学学报（理学版）
2013年 第6期

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