Markovian forward-backward stochastic differential equations and stochastic flows

被引：2

作者：

Elliott, Robert J. ^{[1
,2
]}

Siu, Tak Kuen ^{[3
]}

机构：

[1] Univ Calgary, Haskayne Sch Business, Calgary, AB, Canada

[2] Univ Adelaide, Sch Math Sci, Adelaide, SA 5005, Australia

[3] Macquarie Univ, Fac Business & Econ, Dept Appl Finance & Actuarial Studies, Sydney, NSW 2109, Australia

来源：

SYSTEMS & CONTROL LETTERS | 2012年 / 61卷 / 10期

基金：

澳大利亚研究理事会;

关键词：

Markovian forward-backward stochastic differential equations; Stochastic flows; Martingale representation; Special semimartingale; Convex risk measures; RISK;

D O I：

10.1016/j.sysconle.2012.04.013

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

Markovian forward-backward stochastic differential equations, (MFBSDEs), are discussed by exploiting techniques of stochastic flows. Using martingale representation, a differentiation rule, stochastic flows of diffeomorphisms and the unique decomposition of special semimartingales, we identify the solution of the backward system of the FBSDE. Applications of the result to convex risk measures are discussed. (c) 2012 Elsevier B.V. All rights reserved.

引用

页码：1017 / 1022

页数：6

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