摘要
倒向随机微分方程从数学上描述了一类投资决策过程,这使得它的数值解计算成为大家关注的焦点之一.从金融实务的角度看,应首先研究在有限个离散时间点上进行交易的投资决策过程.从这个角度出发,给出了一类倒向随机微分方程的数值解法.
The backward stochastic differential equations (BSDEs) can describe a class of investment decision-making process problems,which leads its numerical method to be focused.In accordance with the practice of finance,research on the investment decision-making process in which situation the trade is going on some finite and discrete time points is supposed to be first taken into consideration.So here a numerical method to solve this class of BSDEs is developed.
出处
《复旦学报（自然科学版）》
CAS
CSCD
北大核心
2005年第2期262-271,共10页
Journal of Fudan University：Natural Science
