Acta mathematica scientia,Series A ›› 2004, Vol. 24 ›› Issue (1): 88-93.

• Articles • Previous Articles     Next Articles

Smoothness of Solution for |Backward Stochastic Differential Equation

 LIN Qing-Quan   

  • Online:2004-02-25 Published:2004-02-25
  • Supported by:

    211工程 十五建设计划重点科研项目,国家自然科学基金资助项目(79790130 )

Abstract:

The author  discusses the smoothness of solution for BSDE Y_t=ξ+∫^T_t{g(s,Y_s,Z_s)}ds-∫^T_t{Z_s}dW_s in Malliavin calculus sense.For any \$n\$ the author  discusses  differentiabilty of n th  order in the Malliavin sense for the solution,and it satisfies a linear BSDE, as a result the soluiton for BSDE is smoothness in the sense.

Key words: Backward stochastic differential equation;Malliavin ca lculus;Smoothness

CLC Number: 

  • 60H
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