Approximate Solvability of ForwardBackward Stochastic Differential Equations
نویسندگان
چکیده
منابع مشابه
Solvability of Backward Stochastic Differential Equations with quadratic growth
In this paper we show a general result of existence and uniqueness of Backward Stochastic Differential Equation (BSDE) with quadratic growth driven by continuous martingale. Backward stochastic differential equations have been introduced by Bismut [1] for the linear case as equations of the adjoint process in the stochastic maximum principle. A nonlinear BSDE (with Bellman generator) was first ...
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ژورنال
عنوان ژورنال: Applied Mathematics and Optimization
سال: 2002
ISSN: 0095-4616,1432-0606
DOI: 10.1007/s00245-001-0025-7