Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob–Meyers type

被引：41

作者：

Shige Peng

机构：

[1] Department of Mathematics,

[2] Shandong University,undefined

[3] Jinan,undefined

[4] 250100,undefined

[5] P. R. China. e-mail: peng@public.jn.sd.cn and peng@sdu.edu.cn,undefined

来源：

Probability Theory and Related Fields | 1999年 / 113卷

关键词：

Mathematics Subject Classification (1991): 60H99, 60H30;

D O I：

暂无

中图分类号：

学科分类号：

摘要：

We have obtained the following limit theorem: if a sequence of RCLL supersolutions of a backward stochastic differential equations (BSDE) converges monotonically up to (yt) with E[supt|yt|2] < ∞, then (yt) itself is a RCLL supersolution of the same BSDE (Theorem 2.4 and 3.6).

引用

页码：473 / 499

页数：26