| 一类正倒向随机微分方程解的比较定理及应用 |
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| 引用本文： | 陈薇薇,孙晓君. 一类正倒向随机微分方程解的比较定理及应用[J]. 纺织高校基础科学学报, 2004, 17(4): 326-330,341 |
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| 作者姓名： | 陈薇薇 孙晓君 |
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| 作者单位： | 东华大学,理学院,上海,200051 |
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| 基金项目： | 上海市高等学校科学技术发展基金资助项目 ( 0 2 JG0 50 4 4) |
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| 摘 要： | 证明了一类正倒向随机微分方程解的比较定理，运用比较定理，还证明了正倒向随机微分效用过程的时间一致性、终值单调性、消费单调性和凹性等有关性质。
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| 关 键 词： | 正倒向随机微分方程 比较定理 随机微分效用函数 随机微分效用过程 |
| 文章编号： | 1006-8341(2004)04-0326-05 |
A comparison theorem of a backward-forward stochastic differential equations and its application to finance |
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| CHEN Wei-wei,SUN Xiao-jun. A comparison theorem of a backward-forward stochastic differential equations and its application to finance[J]. Basic Sciences Journal of Textile Universities, 2004, 17(4): 326-330,341 |
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| Authors: | CHEN Wei-wei SUN Xiao-jun |
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| Abstract: | A comparison theorem is proved for the solutions of a backward-forward differential equations.By the comparison theorem,a series of properties of the backward-forward differential utility process is gotten,such as time consistence,monotonicity with respect to the terminal value,monotonicity with respect to the (consumption) and concavity. |
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| Keywords: | backward-forward stochastic differential equation comparison theorem stochastic differential (utility) function stochastic differential utility process |
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