终端时间可为无限的BSDE解的递归迭代序列的收敛性及解的存在唯一性

The existence and uniqueness for solutions of BSDEs with infinite time horizons and the convergence of recursive iterative sequence for the solutions

摘要: 在某个新的空间上利用压缩映像原理证明了终端时间可为无限的一类多维倒向随机微分方程在该空间上解的存在唯一性,作为推论得到了该类倒向随机微分方程解的递归迭代序列的收敛性.

Abstract: By establishing a strict contraction in a new space,we prove the existence and uniqueness for solutions of a class of multidimensional backward stochastic differential equations with infinite time terminal.As a corollary,we obtain the convergence of the recursive iterative sequence for solutions of backward stochastic differential equations of this type.