[Caractérisation des temps de sortie moyens pour une équation FBSDE]
Dans cette Note on donne une nouvelle caractérisation explicite des temps de sortie moyens pour un probléme récemment introduit par l'auteur ; cette caractérisation est obtenue à partir d'une FBSDE quadratique à temps terminal aléatoire. On démontre aussi, sous certaines conditions, une estimation a priori, et un résultat d'unicité pour ce type d'équation différentielle stochastique directe et rétrograde.
In this Note, we present a new explicit characterization for a mean exit time problem recently treated by the author, in form of a quadratic Forward–Backward Stochastic Differential Equation (FBSDE) with a random terminal time. An a priori estimate and a uniqueness result for such a type of FBSDE are also proved, under certain conditions.
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@article{CRMATH_2009__347_15-16_965_0,
author = {Makasu, Cloud},
title = {A {Note} on {FBSDE} characterization of mean exit times},
journal = {Comptes Rendus. Math\'ematique},
pages = {965--969},
publisher = {Elsevier},
volume = {347},
number = {15-16},
year = {2009},
doi = {10.1016/j.crma.2009.06.006},
language = {en},
url = {http://archive.numdam.org/articles/10.1016/j.crma.2009.06.006/}
}
TY - JOUR AU - Makasu, Cloud TI - A Note on FBSDE characterization of mean exit times JO - Comptes Rendus. Mathématique PY - 2009 SP - 965 EP - 969 VL - 347 IS - 15-16 PB - Elsevier UR - http://archive.numdam.org/articles/10.1016/j.crma.2009.06.006/ DO - 10.1016/j.crma.2009.06.006 LA - en ID - CRMATH_2009__347_15-16_965_0 ER -
%0 Journal Article %A Makasu, Cloud %T A Note on FBSDE characterization of mean exit times %J Comptes Rendus. Mathématique %D 2009 %P 965-969 %V 347 %N 15-16 %I Elsevier %U http://archive.numdam.org/articles/10.1016/j.crma.2009.06.006/ %R 10.1016/j.crma.2009.06.006 %G en %F CRMATH_2009__347_15-16_965_0
Makasu, Cloud. A Note on FBSDE characterization of mean exit times. Comptes Rendus. Mathématique, Tome 347 (2009) no. 15-16, pp. 965-969. doi : 10.1016/j.crma.2009.06.006. http://archive.numdam.org/articles/10.1016/j.crma.2009.06.006/
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☆ Partial results of this Note were obtained when the author was holding a postdoc grant PRO12/1003 at the Mathematics Institute, University of Oslo, Norway.
