[Duale représentation comme les jeux différentielles stochastiques pour les équations différentielles stochastiques rétrogrades, et les évalutions dynamiques]
In this Note, assuming that the generator is uniform Lipschitz in the unknown variables, we relate the solution of a one dimensional backward stochastic differential equation with the value process of a stochastic differential game. Under a domination condition, an
Dans cette Note, supposant que le générateur soit une fonction uniformément lipschitzienne, nous présentons un lien entre les équations différentielles stochastiques rétrogrades et les jeux différentiels stochastiques. Sous une hypothèse de domination, une évaluation
Accepté le :
Publié le :
Shanjian Tang 1, 2
@article{CRMATH_2006__342_10_773_0, author = {Shanjian Tang}, title = {Dual representation as stochastic differential games of backward stochastic differential equations and dynamic evaluations}, journal = {Comptes Rendus. Math\'ematique}, pages = {773--778}, publisher = {Elsevier}, volume = {342}, number = {10}, year = {2006}, doi = {10.1016/j.crma.2006.03.025}, language = {en}, }
TY - JOUR AU - Shanjian Tang TI - Dual representation as stochastic differential games of backward stochastic differential equations and dynamic evaluations JO - Comptes Rendus. Mathématique PY - 2006 SP - 773 EP - 778 VL - 342 IS - 10 PB - Elsevier DO - 10.1016/j.crma.2006.03.025 LA - en ID - CRMATH_2006__342_10_773_0 ER -
%0 Journal Article %A Shanjian Tang %T Dual representation as stochastic differential games of backward stochastic differential equations and dynamic evaluations %J Comptes Rendus. Mathématique %D 2006 %P 773-778 %V 342 %N 10 %I Elsevier %R 10.1016/j.crma.2006.03.025 %G en %F CRMATH_2006__342_10_773_0
Shanjian Tang. Dual representation as stochastic differential games of backward stochastic differential equations and dynamic evaluations. Comptes Rendus. Mathématique, Volume 342 (2006) no. 10, pp. 773-778. doi : 10.1016/j.crma.2006.03.025. https://comptes-rendus.academie-sciences.fr/mathematique/articles/10.1016/j.crma.2006.03.025/
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