一般过滤中BSDEs超解先验估计的统一方法

IF 1.2 2区数学 Q2 STATISTICS & PROBABILITY

Annales De L Institut Henri Poincare-probabilites Et Statistiques Pub Date : 2015-07-23 DOI:10.1214/16-AIHP798

B. Bouchard, Dylan Possamai, Xiaolu Tan, Chao Zhou

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引用次数: 42

摘要

我们提供了一种统一的方法来先验估计一般过滤中BSDEs的超解，它可能不是准左连续的。作为应用实例，我们证明了反射BSDEs在一般框架下是适定的。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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A unified approach to a priori estimates for supersolutions of BSDEs in general filtrations

We provide a unified approach to a priori estimates for supersolutions of BSDEs in general filtrations, which may not be quasi left-continuous. As an example of application, we prove that reflected BSDEs are well-posed in a general framework.

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来源期刊

Annales De L Institut Henri Poincare-probabilites Et Statistiques 数学-统计学与概率论

CiteScore

2.70

自引率

0.00%

发文量

审稿时长

6-12 weeks

期刊介绍： The Probability and Statistics section of the Annales de l’Institut Henri Poincaré is an international journal which publishes high quality research papers. The journal deals with all aspects of modern probability theory and mathematical statistics, as well as with their applications.