Viability property for a backward stochastic differential equation and applications to partial differential equations

被引：51

作者：

Buckdahn, R

Quincampoix, M

Rascanu, A

机构：

[1] Univ Bretagne Occidentale, Dept Math, F-29285 Brest, France

[2] Univ Alexandru Ioan Cuza, Fac Matemat, Iasi 6600, Romania

来源：

PROBABILITY THEORY AND RELATED FIELDS | 2000年 / 116卷 / 04期

关键词：

D O I：

10.1007/s004400050260

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In the present paper, we study conditions under which the solutions of a backward stochastic differential equation remains in a given set of constraints. This property is the so-called "viability property". Tn a separate section, this condition is translated to a class of partial differential equations.

引用

页码：485 / 504

页数：20

共 17 条

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[2]

[Anonymous], VIABILITY THEORY

[3]

Aubin J. P., 1990, Ann. Scuola Norm. Sup. Pisa Cl. Sci., V17, P595

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