1) forward-backward stochastic differential equations with Poisson jumps
跳扩散正-倒向随机微分方程
1.
Existence and uniqueness and comparison theorems of solutions to infinite horizon forward-backward stochastic differential equations with Poisson jumps(FBSDEs) are discussed.
研究了无穷水平跳扩散正-倒向随机微分方程解的存在唯一性以及比较定理。
2) jump-diffusion forward-backward stochastic differential equations
跳跃扩散型正倒向随机微分方程
3) backward stochastic differential equations with jumps
带跳倒向随机微分方程
1.
A stability theorem of the solutions is derived to the following backward stochastic differential equations with jumps y~ε_t=ξ~ε+∫~T_tf~ε(s,y~ε_s,z~ε_s,v~ε_s)ds-∫~T_tz~ε_sdw_s-∫~T_t∫_Uv~ε_s(z)(ds,dz),ε≥0,t∈ under non-Lipschitz condition and the main tool is a corollary of the Bihari inequality.
证明了带跳倒向随机微分方程列ytε=ξε+∫tTfε(s,ysε,zsε,vsε)ds-∫tTzsεdws-∫∫tTUvεs(z)N(ds,dz),ε≥0,t∈[0,T]在非Lipschitz条件下其解的稳定性;使用的主要工具是Bihari不等式的一个推论。
5) Forward-Backward Stochastic Differential Equation
正倒向随机微分方程
1.
using relevant linear forward-backward stochastic differential equations, it obtains a calculating formula of the retained proportion or retention for the reinsurance.
本文研究了投资影响下的再保险策略,利用有关的线性正倒向随机微分方程,获得投资影响下再保险的自留比例或自留额的计算式子。
2.
Starting from systematic view,the paper integrates compensations that insuers will be up against with its return on investment and establishes linear forward-backward stochastic differential equations for proportional and excess-of-loss reinsurance premiums.
从系统的观点出发,把保险公司的赔付情况与投资收益相结合,对比例再保险和超额损失再保险,建立了在投资背景下它们应满足的线性正倒向随机微分方程。
6) Forward-backward stochastic differential equations
正倒向随机微分方程
1.
The well-posedness of time-delayed forward-backward stochastic differential equations is studied.
研究了带时滞正倒向随机微分方程的适定性问题。
2.
In this paper, we investigate the nature of the adapted solution to a class of forward-backward stochastic differential equations (short for FBSDE) without the non-degenerate condition for the forward equation.
研究了一类正倒向随机微分方程的适应解 ,其中正向方程不需要满足非退化条件 。
补充资料：随机微分方程
见随机积分。
说明：补充资料仅用于学习参考，请勿用于其它任何用途。
参考词条