倒向随机微分方程

在论文的最后，给出了倒向随机微分方程在金融中的几个应用。

At the end of the paper , we give the application of BSDE in finance .

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。

From then on , BSDE is further studied and applied widely in stochastic control , partial differential equation ( PDE ), mathematical finance and economics .

倒向随机微分方程中生成元g的经济含义

The Economic Meanings of Generators in Backward Stochastic Differential Equations

离散倒向随机微分方程的改进Euler算法

The Discrete Backward Stochastic Differential Equations with Improved Euler Method

在[4]中，Chen给出并证明了带停时的倒向随机微分方程解的存在唯一性定理。

Chen also proved the existence and uniqueness theorem for BSDEs with stopping time in [ 4 ] .

倒向随机微分方程和Monte-Carlo方法在期权和期货上的应用

Application on Options and Futures for Backward Stochastic Differential Equations and Monte-Carlo Methods

非Lipschitz条件的倒向随机微分方程和g-期望

Non - Lipschitz Backward Stochastic Differential Equations and g-Expectations

局部Lipschitz条件下的布朗运动和泊松过程混合驱动的正倒向随机微分方程

Fully Coupled Forward-Backward Stochastic Differential Equations with Brownian Motion and Poisson Processes under Local Lipschitz Condition

Peng（1997）通过一类特殊的倒向随机微分方程引入了一种非线性期望：g-期望。

Peng ( 1997 ) introduced a kind of nonlinear expectation : g-expectation via a particular backward stochastic differential equation .

结合分离原理和正倒向随机微分方程理论，我们得到了显式的可观测的Nash均衡点。

Combining the separation principle with the theory of forward and backward stochastic differential equations , we obtain the explicit observable Nash equilibrium point of this kind of game problem .

倒向随机微分方程和Malliavin微分在金融中的应用

Backward Stochastic Differential Equation and Malliavin Derivative Applied in Finance

然后将这些结果应用于带随机跳跃的线性二次非零和微分对策问题之中，由上述正倒向随机微分方程的解得到了开环Nash均衡点的显式形式。

Then these results were applied to get the explicit form of the open_loop Nash equilibrium point for nonzero sum differential games problem with random jump by the solution of the forward_backward stochastic differential equations .

我们从倒向随机微分方程的角度研究了资产泡沫的问题，并将之应用于BGG（2001）模型中。

We study asset bubbles by backward stochastic differential equation and apply it in the BGG model .

研究了倒向随机微分方程的非参估计方法，给出了用非参方法估计生成元g和z的公式，并且进行了数值模拟股票价格过程和期权定价过程来验证非参方法的可行性。

Apply the nonparametric estimation method to backward stochastic differential equation , and give the nonparametric estimation formula of generator g and z , also the data of a stock price process and option pricing process to test the applicability of this method is simulated .

作者将倒向随机微分方程的资产定价方法纳入到BGG模型，以提高央行对资产价格泡沫的测度。

We incorporate asset pricing method of Backward Stochastic Differential Equation into the BGG model so as to better measure asset prices bubble .

本文讨论了如何用倒向随机微分方程（BSDE）来计算一类最小数学期望；

In this paper we discuss how to use Backward Stochastic Differential Equation ( BSDE ) to compute one kind of the minimum expectation .

本文利用不同的方法研究标准期权和奇异期权的定价，一种方法是倒向随机微分方程方法，一种是Monte-Carlo方法。对标准欧式期权和两种典型的奇异期权进行数值计算并加以比较。

One approach is Backward Stochastic Differential Equations methods , the other one is the Monte-Carlo method . It calculates Standard European options and two kinds of exotic options with both of the methods , and then compares the results for these two methods .

在[27]中，Peng证明了正倒向随机微分方程（FBSDE）与偏微分方程之间的直接联系，随后给出了随机最优控制中的一般最大值原理[26]。

In [ 27 ] , Peng obtained a direct relation between forward-backward stochastic differential equations ( FBSDEs ) and partial differential equations , and then in [ 26 ] , he also found the maximum principle for the stochastic control problems .

由连续局部鞅驱动的倒向随机微分方程的解【语】持续体，连续体

Solution of Backward Stochastic Differential Equations Driven by Continuous Local Martingales

连续条件下双重倒向随机微分方程的比较定理

Comparison Theorem of Backward Doubly Stochastic Differential Equations with Continuous Coeffcient

研究了带时滞正倒向随机微分方程的适定性问题。

The well-posedness of time-delayed forward-backward stochastic differential equations is studied .

倒向随机微分方程的数值方法及其误差估计

Numerical Methods and Their Error Estimates for Backward Stochastic Differential Equations

倒向随机微分方程的弱生存性及其应用

Weak Viability Property of Backward Stochastic Differential Equations and Its Application

多维反射倒向随机微分方程和比较定理

Multi-Dimensional Reflected Backward Stochastic Differential Equations and the Comparison Theorem

反射倒向随机微分方程的逆比较问题（Ⅰ）

Converse Comparison Problems for Reflected Backward Stochastic Differential Equations ( I )

倒向随机微分方程与离散的投资决策过程

The Backward Stochastics Differential Equations and Discrete Investment Decision-making Process

特殊形式的倒向随机微分方程在金融市场中的应用

The application of special backward stochastic differential equations in Finance

这是研究正倒向随机微分方程的基础。

This work is a foundation of the study of forward-backward equations .

一类反射型非线性倒向随机微分方程的适应解

Adapted Solution of a Reflected Nonlinear Backward Stochastic Diferential Equation

倒向随机微分方程在欧式期权中的应用

The Application of Backward Stochastic Differential Equations to European Option