A comonotonic theorem for BSDEs
Abstract
Pardoux and Peng (Systems Control Lett. 14 (1990) 55) introduced a class of nonlinear backward stochastic differential equations (BSDEs). According to Pardoux and Peng's theorem, the solution of this type of BSDE consists of a pair of adapted processes, say (y,z). Since then, many researchers have been exploring the properties of this pair solution (y,z), especially the properties of the first part y. In this paper, we shall explore the properties of the second part z. A comonotonic theorem with respect to z is obtained. As an application of this theorem, we prove an integral representation theorem of the solution of BSDEs.Download Info
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Article provided by Elsevier in its journal Stochastic Processes and their Applications.
Volume (Year): 115 (2005)
Issue (Month): 1 (January)
Pages: 41-54
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Keywords: Backward stochastic differential equation (BSDE) Choquet integral Capacity Partial differential equation (PDE);References
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