|
|
| |
| SMALLEST g-SUPERSOLUTION FOR BSDE WITH CONTINUOUS DRIFT COEFFICIENTS |
| |
Citation： |
LIN Qingquan,PENG Shige.SMALLEST g-SUPERSOLUTION FOR BSDE WITH CONTINUOUS DRIFT COEFFICIENTS[J].Chinese Annals of Mathematics B,2000,21(3):359~366 |
| Page view： 1289
Net amount： 1139 |
Authors： |
LIN Qingquan; PENG Shige |
Foundation： |
Project supported by the National Natural Science Foundation of China (No.79790130). |
|
|
| Abstract： |
The authors prove the existence and uniqueness of smallest g-supersolution with an equality constraint on (y, z) for one demensional stochastic differential equations whose drift coefficients are continuous and linearly growing, and whose terminal conditions are square integrable. |
Keywords： |
Backward stochastic differentail equation, g-supersolution, Constraint |
Classification： |
60H10 |
|
|
Download PDF Full-Text
|
