A backward stochastic differential equation without strong solution

نویسندگان
چکیده

برای دانلود رایگان متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Numerical Solution of Heun Equation Via Linear Stochastic Differential Equation

In this paper, we intend to solve special kind of ordinary differential equations which is called Heun equations, by converting to a corresponding stochastic differential equation(S.D.E.). So, we construct a stochastic linear equation system from this equation which its solution is based on computing fundamental matrix of this system and then, this S.D.E. is solved by numerically methods. Moreo...

متن کامل

Discretizing a Backward Stochastic Differential Equation

where (Yt,Zt) are unknown predictable processes. We will assume that f is a Lipschitz function with respect to its arguments throughout this paper. Since this equation has its important applications into control theory and mathematical finance, many mathematicians are not satisfied merely by descriptive existence theorems. They are also interested in constructing the numerical solutions. In ord...

متن کامل

numerical solution of heun equation via linear stochastic differential equation

in this paper, we intend to solve special kind of ordinary differential equations which is called heun equations, by converting to a corresponding stochastic differential equation(s.d.e.). so, we construct a stochastic linear equation system from this equation which its solution is based on computing fundamental matrix of this system and then, this s.d.e. is solved by numerically methods. mo...

متن کامل

A stochastic differential equation with a unique (up to indistinguishability) but not strong solution

Fix a filtered probability space (S~, ,~, P) and a Brownian motion B on that space and consider any solution process X (on Q) to a stochastic differential equation (SDE) dXt = f (t, X) dBt + g(t, X ) dt (1). A well-known theorem states that pathwise uniqueness implies that the solution X to SDE (1) is strong, i.e., it is adapted to the P-completed filtration generated by B. Pathwise uniqueness ...

متن کامل

Numerical Solution of Fuzzy Stochastic Differential Equation

In this paper an alternative approach to solve uncertain Stochastic Differential Equation (SDE) is proposed. This uncertainty occurs due to the involved parameters in system and these are considered as Triangular Fuzzy Numbers (TFN). Here the proposed fuzzy arithmetic in [2] is used as a tool to handle Fuzzy Stochastic Differential Equation (FSDE). In particular, a system of Ito stochastic diff...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: Теория вероятностей и ее применения

سال: 2005

ISSN: 0040-361X

DOI: 10.4213/tvp117