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The comparison theorem of FBSDE

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  • Wu, Zhen

Abstract

We prove one comparison theorem of FBSDE using pure probabilistic method and duality technique. The method allows the coefficients in FBSDE to be random and with possible degeneracy in the forward equation.

Suggested Citation

  • Wu, Zhen, 1999. "The comparison theorem of FBSDE," Statistics & Probability Letters, Elsevier, vol. 44(1), pages 1-6, August.
    • Handle: RePEc:eee:stapro:v:44:y:1999:i:1:p:1-6
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    References listed on IDEAS

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    1. 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.
    2. 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, Zhen & Xu, Mingyu, 2009. "Comparison theorems for forward backward SDEs," Statistics & Probability Letters, Elsevier, vol. 79(4), pages 426-435, February.
    2. Xanthi-Isidora Kartala & Nikolaos Englezos & Athanasios N. Yannacopoulos, 2020. "Future Expectations Modeling, Random Coefficient Forward–Backward Stochastic Differential Equations, and Stochastic Viscosity Solutions," Mathematics of Operations Research, INFORMS, vol. 45(2), pages 403-433, May.

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