کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1154320 | 958381 | 2006 | 11 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Existence of the solutions of backward–forward SDE's with continuous monotone coefficients
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
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چکیده انگلیسی
We seek an alternative approach to produce the solution of a certain class of BFSDE's without employing the classical time restriction. In the literature there are various results about this problem, none of them implying the other. The previous methods always assume to have globally Lipschitz coefficients. Here, under some particular choices for the coefficients, we show that if one of them satisfies a uniform growth condition and they are accordingly monotone, one can find a solution (not necessarily unique), without even resorting to the Lipschitz property. Finally we provide some examples to show this is a new class of equations.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Statistics & Probability Letters - Volume 76, Issue 14, 1 August 2006, Pages 1559–1569
Journal: Statistics & Probability Letters - Volume 76, Issue 14, 1 August 2006, Pages 1559–1569
نویسندگان
Fabio Antonelli, Saı¨d Hamadène,