The Existence And Uniqueness Of The Solution To A Kind Of Forward_Backward Stochastic Differential Equation Under A Kind Of Non-Lipschitz Condition And The Application Of Portfolios

This thesis is made up of four parts.The first part introduces the background and present situation of my research fields.In the second one, I prove the existence and uniqueness of the solution to a kind of forward-backward stochastic differential equations (FBSDE for short) on a sort of non-Lipschitz condition.The third part of my thesis studies the optimal investment tactics in a incomplete market. First, we study a kind of linear quadratic stochastic optimal control coupled with a forward stochastic differential equation, and find the existing unique solution. Then we use this method to solve a kind of invest system, and get the optimal investment tactics.In the last part of this thesis, we discuss how to price the state-owned stocks using the model of option pricing. And we study the property of corporations stocks as a kind of option, In the end, the stocks to be transferred of one certain corporation is priced by the BlackScholes formula, invest system, option...