Équations différentielles stochastiques rétrogrades : le cas localement lipschitzien

S. Hamadene

Annales de l'I.H.P. Probabilités et statistiques (1996)

  • Volume: 32, Issue: 5, page 645-659
  • ISSN: 0246-0203

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Hamadene, S.. "Équations différentielles stochastiques rétrogrades : le cas localement lipschitzien." Annales de l'I.H.P. Probabilités et statistiques 32.5 (1996): 645-659. <http://eudml.org/doc/77550>.

@article{Hamadene1996,
author = {Hamadene, S.},
journal = {Annales de l'I.H.P. Probabilités et statistiques},
keywords = {backward stochastic differential equation; comparison theorem},
language = {fre},
number = {5},
pages = {645-659},
publisher = {Gauthier-Villars},
title = {Équations différentielles stochastiques rétrogrades : le cas localement lipschitzien},
url = {http://eudml.org/doc/77550},
volume = {32},
year = {1996},
}

TY - JOUR
AU - Hamadene, S.
TI - Équations différentielles stochastiques rétrogrades : le cas localement lipschitzien
JO - Annales de l'I.H.P. Probabilités et statistiques
PY - 1996
PB - Gauthier-Villars
VL - 32
IS - 5
SP - 645
EP - 659
LA - fre
KW - backward stochastic differential equation; comparison theorem
UR - http://eudml.org/doc/77550
ER -

References

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  1. [1] N. El-Karoui, S. Peng et M.C. Quenez, Backward stochastic differential equation, Finance and Optimization, Preprint. Zbl0884.90035
  2. [2] J. Genet, Mesure et intégration, Vuibert, 1976, Paris. 
  3. [3] H. Hamadène et J.-P. Lepeltier, Zero sum stochastic differential games and backward equations, Systems and Control letters, vol. 24, 1995, p. 259-263. Zbl0877.93125MR1321134
  4. [4] H. Hamadène et J.-P. Lepeltier, Backward equations, optimal control and zero sum stochastic differential games, à paraître dans Stochastics. Zbl0858.60056
  5. [5] I. Karatzas et S.E. Shreve, Brownian motion and stochastic calculus, Second édition, Springer, 1991. Zbl0734.60060MR1121940
  6. [6] E. Pardoux et S. Peng, Adapted solution of a backward stochastic differential equation, Systems and control letters, vol. 14, 1990, p. 54-61. Zbl0692.93064MR1037747
  7. [7] E. Pardoux et S. Peng, Some backward stochastic differential equations with non-lipschitz coefficients, Preprint. Zbl0766.60079
  8. [8] E. Pardoux et S. Peng, Backward Stochastic Differential Equations and Quasilinear Parabolic Partial Differential Equations, Lecture Notes in CIS, vol. 176, 1992, p. 200-217, Springer. Zbl0766.60079MR1176785

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