一类倒向随机微分方程解的稳定性定理

A stability theorem for solutions of a class of backward stochastic differential equations

通过建立两个等价概率测度下随机变量条件数学期望之间的一个不等式,在生成元g关于y单调且关于z一致连续的条件下证明了倒向随机微分方程解的一个稳定性定理,推广了几个已知的结果。

By establishing an inequality between conditional mathematic expectations of random variables under two dif- ferent but equivalent probability measures, we prove a stability theorem for solutions of backward stochastic differential equations whose generator g is monotonic in y and uniformly continuous in z, which generalizes some known results.