Backward stochastic differential equations and partial differential equations with quadratic growth
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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در این رساله به بررسی رفتار جواب های رده ای از معادلات دیفرانسیل با مشتقات جزیی در دامنه های کراندار می پردازیم . این معادلات به فرم نیم-خطی و غیر خطی برای مسایل مستقیم و معکوس مورد مطالعه قرار می گیرند . به ویژه، تاثیر شرایط مختلف فیزیکی را در مساله، نظیر وجود موانع و منابع، پراکندگی و چسبندگی در معادلات موج و گرما بررسی می کنیم و به دنبال شرایطی می گردیم که متضمن وجود سراسری یا عدم وجود سراسر...
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ژورنال
عنوان ژورنال: The Annals of Probability
سال: 2000
ISSN: 0091-1798
DOI: 10.1214/aop/1019160253