... (2.11) and working on
(v,p) for the transformed equations. []
Our main comparison result is the following.
Theorem 6.2.
Let (1.6), (2.2) and (H),~ hold for (6.2) and (6.3).
Let
(f,g) and
(f,~) ... ~(0) _~ K 00) ,
and either (1 .8) -(1.9) or (1 .8) '-(1.9)' hold:
(1 .8) ((I)(T)
g(x) g(Z) ' g(x) g(~)
)>51x-~?,
vx,~e~".
(1.9)
X w
y ' h(t,O) h(...
... the function
(8, x,y)
J (8, x,y;ZJi,,Tl(.))
is continuous. Thus, by the definition of V, it is necessary that V(s, x, y)
is upper semi-continuous. On the other hand, by (2.6) and (3.2), taking ...
(i) ~,~(s, ~, y)
and V ~,~(s, x, y) are continuous in
(x, y) 9 ~" • ~m,
uniformly in s C [0, T] and 6, E >_ O; For fixed 6 > 0 and e > O, ~5,~ (s, x, y)
and Va'...
... hard to see that under (3.17)-(3. 18) , (3.21) implies (1 .8) and (3.22)
implies (1.7) and (1.9)' (Note (1 .8) implies (1 .8) '). We see that the left hand
side of (3.22) can be controlled ...
B(t)T~,b '
(4.17) tc[O,T]
I
+ 2 ( B(t)~ + C(t)~,h' - h)
+2
(B(t)TF, 8& apos; - 8 >
+(A(t) (8& apos; +8) ,8& apos;-~)} V0,0EM.
The above means that if the perturba...
... the stochastic differential
Jin Ma Jiongmin Yong
Forward-Backward
Stochastic
Differential Equations
and Their Applications
Springer
Lecture Notes in Mathematics
Editors:
A. Dold, Heidelberg ...
into the stock, and puts
viii Preface
strong degeneracy in the sense of stochastic partial differential equations.
Such BSPDEs can be used to generalize the Feynman-Kac form...
... A2(s))dA;
/o
8( 8) = hlz(s, Y2 (8) + af~ (8) ,'Z2(s) + a2 (8) )aa.
Clearly, a and fl are {Ft}t_>o-adapted processes, and are both uniformly
bounded, thanks to (6.2). In particular, /3 satisfies ... for ordinary
differential equations do not necessarily admit solutions. On the other
hand, an FBSDE can be viewed as a two-point boundary value problem for
stochastic differe...
...
/~(s)=+l, Vs9 So+r /~(s)=0,
8k
80
1 {8 9 [8o ,8~ ] I Z(s) = 1)1 =
~ ,
1 {8 9 [8o ,8~ ] l Z (8) -1}1 = 8~ - so,
2
Vs 9 (so + e,T];
k_>l,
for some sequence
Sk $ so
and
Sk < T - ~.
Next, ... all g C H if and only if (3.17) and (3.19) hold. In this case, the adapted
solution to (2.12) is unique (for any given g E H).
Proof.
Theorems 3.2 and 3.3 tell us that...
... "~ x R m•
Now, we see that (2.6) and (2 .8) follow from (A1) and (A2); (2.7) follows
from (A1), (2.2) and (2.11); and (2.9)-(2.10) follow from (A1) and (2.2).
Therefore, by Lemma 2.1 there ... of the coefficients of the system (2.1) (i.e., b, h, a, and
3(z) - z) and their derivatives. Therefore using assumptions (H1) and
(H4), and noting that supt
IZ(k)(t)l <...
... 8( x + h) - 8( x) = 0, we have
-Mh 2<
lim
8~ (x)h < ~ 8~ (x)h < Mh 2.
Dividing h and letting h + 0 we derive lim~-~oo 8~ (x) = 0. Further, note
that
1
8~ - a(x ,8~ [-b(x ,8) Sx + h(x )8 ... boundedness of 8, 8~ , and 8~ z and the assumption (H1) then show that
8xz~ exists and is continuous and bounded as well. Thus apply Taylor's
expansion to the third...
... if and only if
{A,B,~d,b,c}
satisfies (H),~, where ~ and b are given by (1.4). Thus, we have the exact
statements as Theorems 2.1, 2.2 and 2.3 for BSPDE (1.5) with a and b
replaced by ~ and ... have
the
Gelfand triple V r H = H' ~ + V'.
We denote the inner product and
the induced norm of H by (-, ")0 and [-10, respectively. The duality paring
between V a...
... unusual in applications to work from the beginning with
the
so-called "equivalent martingale measure," in the sense of Harrison and Kreps
[1], and we do so.
1 98 Chapter 8. Applications ... results in
Chapter 8
Applications of FBSDEs
In this chapter we collect some interesting applications of FBSDEs. These
applications appear in various fields of both theoret...