Stochastic Stability of Backward Stochastic Differential Equation of It? Type
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摘要: 引進反Brown運動,反鞅等概念,并利用Lyapunov函數方法,討論了如下形式的It?型倒向隨機微分方程$\left\{\begin{array}{l}{\rm{d}}{y_t}=b ({y_t},t) dt-\sigma ({y_t},t) d{w_t},t\in[0,T]\\y (T)=\zeta{\rm{a}}{\rm{.s}}\end{array}\right.$的隨機穩定性,得到了判據.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 $\left\{ \begin{array}{l} {\rm{d}}{y_t}=b({y_t},t)dt-\sigma ({y_t},t)d{w_t},t \in[0,T]\\ y(T)=\zeta {\rm{a}}{\rm{.s}} \end{array} \right.$
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