Dans cette Note on montre que le générateur g d'une équation stochastique rétrograde (EDSR) peut être représentré par la solution de l'EDSR correspondante si et seulement si g est un générateur de Lebesgue.
It is proved that the generator g of a backward stochastic differential equation (BSDE) can be represented by the solutions of the corresponding BSDEs if and only if g is a Lebesgue generator.
Accepté le :
Publié le :
@article{CRMATH_2005__340_2_161_0, author = {Jiang, Long}, title = {Representation theorems for generators of backward stochastic differential equations}, journal = {Comptes Rendus. Math\'ematique}, pages = {161--166}, publisher = {Elsevier}, volume = {340}, number = {2}, year = {2005}, doi = {10.1016/j.crma.2004.10.023}, language = {en}, url = {http://www.numdam.org/articles/10.1016/j.crma.2004.10.023/} }
TY - JOUR AU - Jiang, Long TI - Representation theorems for generators of backward stochastic differential equations JO - Comptes Rendus. Mathématique PY - 2005 SP - 161 EP - 166 VL - 340 IS - 2 PB - Elsevier UR - http://www.numdam.org/articles/10.1016/j.crma.2004.10.023/ DO - 10.1016/j.crma.2004.10.023 LA - en ID - CRMATH_2005__340_2_161_0 ER -
%0 Journal Article %A Jiang, Long %T Representation theorems for generators of backward stochastic differential equations %J Comptes Rendus. Mathématique %D 2005 %P 161-166 %V 340 %N 2 %I Elsevier %U http://www.numdam.org/articles/10.1016/j.crma.2004.10.023/ %R 10.1016/j.crma.2004.10.023 %G en %F CRMATH_2005__340_2_161_0
Jiang, Long. Representation theorems for generators of backward stochastic differential equations. Comptes Rendus. Mathématique, Tome 340 (2005) no. 2, pp. 161-166. doi : 10.1016/j.crma.2004.10.023. http://www.numdam.org/articles/10.1016/j.crma.2004.10.023/
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⁎ Supported by the National Natural Science Foundation of China (No. 10131030) and Science Foundation of CUMT.