کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5129743 1489850 2017 9 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
A representation theorem for generators of BSDEs with general growth generators in y and its applications
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
A representation theorem for generators of BSDEs with general growth generators in y and its applications
چکیده انگلیسی

In this paper we first prove a general representation theorem for generators of backward stochastic differential equations (BSDEs for short) by utilizing a localization method involved with stopping time tools and approximation techniques, where the generators only need to satisfy a weak monotonicity condition and a general growth condition in y and a Lipschitz condition in z. This result basically solves the problem of representation theorems for generators of BSDEs with general growth generators in y. Then, such representation theorem is adopted to prove a probabilistic formula, in viscosity sense, of semilinear parabolic PDEs of second order. The representation theorem approach seems to be a potential tool to the research of viscosity solutions of PDEs.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Statistics & Probability Letters - Volume 129, October 2017, Pages 297-305
نویسندگان
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