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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 저널정보
- 한국전산응용수학회 Journal of applied mathematics & computing Journal of applied mathematics & computing 제24권 제1호
- 발행연도
- 2007.1
- 수록면
- 427 - 435 (9page)
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The existence theorem and continuous dependence property in $"L^2"$ sense for solutions of backward stochastic differential equation (shortly BSDE) with Lipschitz coefficients were respectively established by Pardoux-Peng and Peng in [1,2], Mao and Cao generalized the Pardoux-Peng's existence and uniqueness theorem to BSDE with non-Lipschitz coefficients in [3,4]. The present paper generalizes the Peng's continuous dependence property in $"L^2"$ sense to BSDE with Mao and Cao's conditions. Furthermore, this paper investigates the continuous dependence property in "almost surely" sense for BSDE with Mao and Cao's conditions, based on the comparison with the classical mathematical expectation.
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