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On Girsanov's transform for backward stochastic differential equations
stochastic differential equations math
2010/11/19
By using a simple observation that the density processes appearing in Ito's martingale representation theorem are invariant under the change of measures, we establish a non-linear version of the Came...
On the continuous dependence of the minimal solution of constrained backward stochastic differential equations
the minimal solution stochastic differential equations
2010/11/15
It is well-known that solutions of backward differential equations are continuously dependent on the terminal value. Since the increasing part of the minimal solution of a constrained backward differe...