請用此 Handle URI 來引用此文件：
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/6804完整後設資料紀錄
| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 姜祖恕 | |
| dc.contributor.author | Po-Tso Lin | en |
| dc.contributor.author | 林柏佐 | zh_TW |
| dc.date.accessioned | 2021-05-17T09:18:28Z | - |
| dc.date.available | 2012-07-19 | |
| dc.date.available | 2021-05-17T09:18:28Z | - |
| dc.date.copyright | 2012-07-19 | |
| dc.date.issued | 2012 | |
| dc.date.submitted | 2012-07-16 | |
| dc.identifier.citation | Bjork, T. (2009). Arbitrage theory in continuous time (3rd ed.). New York: Oxford.
Karatzas, I., & Shreve, S., E. (1998). Brownian motion and stochastic calculus (2nd ed.). New York: Springer. Karoui, N. E., Peng, S., & Quenez, M. C. (1997). Backward stochastic differential equations in finance. Mathematical Finance, Vol. 7., No. 1, 1-71. Lax, P. D., (2002). Functional Analysis. Wiley. Ma, J., & Yong, J. (2000). Forward-backward stochastic equations and their applications. Springer. Oksendal, B. (2003). Stochastic differential equations (6th ed.) Springer. Pham, H. (2000). Continuous-time stochastic control and optimization with Financial Application. Springer. Zhou, X. Y., & Li, D. (2000). Continuous-time mean-variance portfolio selection: a stochastic LQ framework, Applied Mathematics Optimization, 19-33. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/6804 | - |
| dc.description.abstract | 本篇論文中我們探討線性正倒向隨機微分方程的可解性。我們在本篇論文中我們探討特殊情形時( b A = O)，可解性的充分必要條件。我們是針對Ma & Yong (2000)工作的延伸。最後我們提出了一個正向微分方程與倒向微分方程的關係，藉由解一個矩陣的常微分方程(里卡蒂方程)提出了類似的充分必要條件。 | zh_TW |
| dc.description.abstract | In this paper we investigate the solvability of linear forward-backward stochastic differential equations (FBSDEs, for short). We give sufficient and necessary conditions of the solvability in linear forward-backward stochastic differential equations and prove it in a special case ($widehat A=O$). These results are extensional work of Ma & Yong (2000). Then we introduce the relationship between forward equation and backward equation, we also can get similar sufficient and necessary conditions to solve linear forward-backward stochastic differential equations by solving a matrix ordinary differential equation (a Riccati type equation). | en |
| dc.description.provenance | Made available in DSpace on 2021-05-17T09:18:28Z (GMT). No. of bitstreams: 1 ntu-101-R98221041-1.pdf: 989664 bytes, checksum: eeeb79cb68cee2f6ad708f7b8bf272d9 (MD5) Previous issue date: 2012 | en |
| dc.description.tableofcontents | The Authorization of Oral Members for Research Dissertation i
Acknowledgements ii Abstract (in Chinese) iii Abstract (in English) iv 1 Introduction 1 2 Denitions and Notations 6 3 Solvability of Linear FBSDEs 10 3.1 Necessary Conditions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10 3.2 Criteria for Solvability . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20 4 A Riccati Type Equation 31 5 Conclusion 38 Bibliography 39 Appendix 40 | |
| dc.language.iso | en | |
| dc.subject | 里卡蒂方程 | zh_TW |
| dc.subject | 正倒向隨機微分方程 | zh_TW |
| dc.subject | Riccati Type Equation | en |
| dc.subject | Forward-Backward Stochastic Differential Equation | en |
| dc.title | 線性正倒向隨機微分方程與里卡蒂方程 | zh_TW |
| dc.title | Linear Forward-Backward Stochastic Differential Equations and a Riccati Type Equation | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 100-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.coadvisor | 謝南瑞 | |
| dc.contributor.oralexamcommittee | 許順吉,韓傳祥 | |
| dc.subject.keyword | 正倒向隨機微分方程,里卡蒂方程, | zh_TW |
| dc.subject.keyword | Forward-Backward Stochastic Differential Equation,Riccati Type Equation, | en |
| dc.relation.page | 42 | |
| dc.rights.note | 同意授權(全球公開) | |
| dc.date.accepted | 2012-07-16 | |
| dc.contributor.author-college | 理學院 | zh_TW |
| dc.contributor.author-dept | 數學研究所 | zh_TW |
| 顯示於系所單位： | 數學系 | |
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