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Weak Viability Property of Backward Stochastic DifferentialEquations and Its Application

LIU Richeng1, HAN Yuecai2,3, HUA Qiu ling2   

  1. 1. Department of Mathematics Science and Technology, Daqing Petroleum Institute, Daqing 163318, Heilongjiang Province, China; 2. College of Mathematics, Jilin University, Changchun 130012, China;3. College of Mathematics, Shandong University, Jinan 250100, China
  • Received:2008-06-19 Revised:1900-01-01 Online:2009-05-26 Published:2009-06-23
  • Contact: HAN Yuecai

Abstract: The authors investigated the weak viability property of backward stochastic differential equations(shortened by BSWVP). By means of sto chastic Lyapunov’s method and Chebychev’s inequality, the authors give a sufficient condition for BSWVP holds on a nonempty closed set. As application, the authors obtaineda decision condition for the weak viability for the viscosity solution of quasilinear parabolic partial differential equations in a closed set.

Key words: backward stochastic differential equation, weak viability property, quasilinear parabolic PDE, viscosity solution, stochastic Lyapunov functional

CLC Number: 

  • O211