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Representation and converse comparison theorems for multidimensional BSDEs

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  • Liu, Haodong
  • Yang, Shuzhen

Abstract

In this paper, we consider a certain kind of multidimensional BSDEs. Under the assumption that the generators satisfy monotonicity condition in y, we investigate representation and converse comparison theorems for these BSDEs.

Suggested Citation

  • Liu, Haodong & Yang, Shuzhen, 2017. "Representation and converse comparison theorems for multidimensional BSDEs," Statistics & Probability Letters, Elsevier, vol. 127(C), pages 67-74.
    • Handle: RePEc:eee:stapro:v:127:y:2017:i:c:p:67-74
    DOI: 10.1016/j.spl.2017.03.025
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    References listed on IDEAS

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    1. Duffie, Darrell & Epstein, Larry G, 1992. "Stochastic Differential Utility," Econometrica, Econometric Society, vol. 60(2), pages 353-394, March.
    2. Jiang, Long, 2005. "Converse comparison theorems for backward stochastic differential equations," Statistics & Probability Letters, Elsevier, vol. 71(2), pages 173-183, February.
    3. Yuhong Xu, 2016. "MULTIDIMENSIONAL DYNAMIC RISK MEASURE VIA CONDITIONAL g-EXPECTATION," Mathematical Finance, Wiley Blackwell, vol. 26(3), pages 638-673, July.
    4. N. El Karoui & S. Peng & M. C. Quenez, 1997. "Backward Stochastic Differential Equations in Finance," Mathematical Finance, Wiley Blackwell, vol. 7(1), pages 1-71, January.
    5. Duffie, Darrel & Lions, Pierre-Louis, 1992. "PDE solutions of stochastic differential utility," Journal of Mathematical Economics, Elsevier, vol. 21(6), pages 577-606.
    6. Jiang, Long, 2005. "Representation theorems for generators of backward stochastic differential equations and their applications," Stochastic Processes and their Applications, Elsevier, vol. 115(12), pages 1883-1903, December.
    7. Duffie, Darrell & Epstein, Larry G, 1992. "Asset Pricing with Stochastic Differential Utility," Review of Financial Studies, Society for Financial Studies, vol. 5(3), pages 411-436.
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    Cited by:

    1. Wu, Hao & Li, Xuefeng, 2021. "Converse comparison theorems for multidimensional anticipated backward stochastic differential equations," Statistics & Probability Letters, Elsevier, vol. 168(C).

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