Stochastic Stability of Backward Stochastic Differential Equation of It? Type

Zhang Yan; Qin Mingda

doi:10.13374/j.issn1001-053x.1998.04.012

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Zhang Yan, Qin Mingda. Stochastic Stability of Backward Stochastic Differential Equation of It? Type[J]. Chinese Journal of Engineering, 1998, 20(4): 390-393. doi: 10.13374/j.issn1001-053x.1998.04.012

Citation:

Zhang Yan, Qin Mingda. Stochastic Stability of Backward Stochastic Differential Equation of It? Type[J]. Chinese Journal of Engineering, 1998, 20(4): 390-393. doi: 10.13374/j.issn1001-053x.1998.04.012

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Stochastic Stability of Backward Stochastic Differential Equation of It? Type

doi: 10.13374/j.issn1001-053x.1998.04.012

Applied Science School, UST Beijing, Beijing 100083, China

Received Date: 1997-04-15
Available Online: 2021-08-27

Abstract

Abstract

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 $\left\{ \begin{array}{l} {\rm{d}}{y_t}=b({y_t},t)dt-\sigma ({y_t},t)d{w_t},t \in[0,T]\\ y(T)=\zeta {\rm{a}}{\rm{.s}} \end{array} \right.$
- backward stochastic differential equation,
- inverse Brown motion,
- inverse martingle,
- stochastic stability