倒向随机微分方程的随机稳定性

Stochastic Stability of Backward Stochastic Differential Equation of Itô Type

摘要: 引进反Brown运动,反鞅等概念,并利用Lyapunov函数方法,讨论了如下形式的Itô型倒向随机微分方程\left\\beginarrayl\rmdy_t=b (y_t,t) dt-\sigma (y_t,t) dw_t,t\in0,T\\y (T)=\zeta\rma\rm.s\endarray\right.的随机稳定性,得到了判据.

Abstract: Some concepts such as inverse brownian motion,inverse martingle are introduced,and relative properties are investigated.By the method of Lyapunov function, the stochastic stability of backward stochatic differenttiai equation(BSDE)of Itô type is studied as follow \left\ \beginarrayl \rmdy_t=b(y_t,t)dt-\sigma (y_t,t)dw_t,t \in0,T\\ y(T)=\zeta \rma\rm.s \endarray \right.