| It(o|^)型倒向随机微分方程的稳定性和不稳定性 |
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| 引用本文： | 张艳,王晓静. It(o|^)型倒向随机微分方程的稳定性和不稳定性[J]. 北京工业大学学报, 2004, 30(3): 386-389 |
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| 作者姓名： | 张艳 王晓静 |
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| 作者单位： | 北京建筑工程学院,基础部,北京,100044 |
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| 摘 要： | 为了给研究经济问题中产生的倒向随机微分方程的稳定性提供有力的判据，利用Lyapunov函数方法和反上鞅收敛定理，给出了It（？）型倒向随机微分方程的指数p稳定性、几乎必然指数稳定性、q不稳定性等判定定理．
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| 关 键 词： | Ito型倒向随机微分方程 指数p稳定性 几乎必然指数稳定性 q不稳定性 |
| 文章编号： | 0254-0037(2004)03-0386-04 |
| 修稿时间： | 2003-10-10 |
Stochastic Stability and Instability of Backward Stochastic Differential Equation of It(o) Type |
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| ANG Yan,WANG Xiao-jing. Stochastic Stability and Instability of Backward Stochastic Differential Equation of It(o) Type[J]. Journal of Beijing Polytechnic University, 2004, 30(3): 386-389 |
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| Authors: | ANG Yan WANG Xiao-jing |
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| Abstract: | order to provide powerful criterion for resolving economy problem, after introducing the convergence theorem of reverse supermartingale, some stochastic stability and instability criteria of backward stochastic differential equation (BSDE) of It(?) type is obtained by the method of Lyapunov function, including the pth moment exponential stochastic stability, almost sure exponential stochastic stability, the qth moment stochastic instability and so on. |
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| Keywords: | ckward stochastic differential equation of It(?) type the pth moment exponential stochastic stability almost sure exponential stochastic stability the qht moment stochastic instability |
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