| 释义 |
BSDE
基本例句
倒向随机微分方程¹⁰⁰
With the past decades development,BSDEhas been penetrated in PDE, Financial Mathematics, Stochastic Control and Differential Geometry.经过近十几年的发展，BSDE渗透于偏微分方程、金融数学、随机控制、微分几何等领域，成为一门具有强大发展潜力的数学工具。
Duffie & Epstein also proposed a type ofBSDEindependently to characterize the stochastic differential utility .Duffie & Epstein在研究随机微分效用过程中也独立地引进了一类倒向随机微分方程。
In the last part, we discuss the stability ofBSDEdriven by continuous semi-martingale using the weak convergence of filtration.第五章利用信息族的弱收敛的方法，讨论由连续半鞅驱动的BSDE解的稳定性。
From then on,BSDEis further studied and applied widely in stochastic control, partial differential equation , mathematical finance and economics.倒向随机微分方程在随机控制、偏微分方程、数理金融、经济等领域都有着广泛的应用。
In this note, we give the detail proofs of time-homogeneity of the solution of backward stochastic differential equation and their explanations in financial market.摘要本注记在一定条件下证明了倒向随机微分方程简记为BSDE的解满足时齐性，并给出其在金融市场中的解释。
There are four parts in this paper. The first chapter introduce the development of financial mathematics, Backward Stochastic Differential Equation and the pricing of contingent claim, especially of European style by using the method ofBSDE.本文分为四个部分,第一章绪论,介绍了金融数学和倒向随机微分方程的发展背景以及利用BSDE研究未定权益定价特别是欧式未定权益定价的发展状况。 |