Backward stochastic differential equations and partial differential equations with quadratic growth
Backward stochastic differential equations and partial differential equations with quadratic growth
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DOI：
10.1214/aop/1019160253
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发表时间：
2000-04-01
影响因子：
2.3
通讯作者：
Kobylanski, M
中科院分区：
文献类型：
--
作者：
Kobylanski, M
当系数（或生成元）F（t，Y，Z）连续且在Z上二次增长且终端条件有界时，给出了一维倒向随机微分方程解的存在性、比较性和稳定性结果.在这个框架下，我们还给出了扩散上的BSDES集的解与相应的半线性偏微分方程的粘性或Sobolev解之间的联系。
We provide existence, comparison and stability results for one-dimensional backward stochastic differential equations (BSDEs) when the coefficient (or generator) F(t, Y, Z) is continuous and has a quadratic growth in Z and the terminal condition is bounded. We also give, in this framework, the links between the solutions of BSDEs set on a diffusion and viscosity or Sobolev solutions of the corresponding semilinear partial differential equations.