The Property Of Backward Stochastic Differential Equations And Its Application

There are three parts constitute this final report of postgraduate study.In part one, briefly discussed the character of backward stochastic differential equation (BSDE) under the conditions of non-Lipschitz, which basically stemmed from the study of professor Shige Peng.In the first half of part one, we proved two important propositions by using theformulation of ITO and the inequation DBG. In the second half, by using theresult of proposition 2.2, found out the theorem of the reverse comparison of BSDE under the circumstance of non-lipschitz.The result in part two is based on the groundwork of part one. In this part still by using the proposition 2.2 discussed the uniqueness of the generator of BSDE under the circumstance of non-Lipschitz.In part three, the discussion comes to the application of option pricing system. As 3G-license is now the hot-talk in the telecommunication industry, the discussion in this part therefore first come to the character of real option of 3G-license, then come to the analysis of each parameter that compose the real option versus the sensitivity of 3G-license pricing.