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The comparison theorem of FBSDE

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  • Wu, Zhen
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    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.

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    File URL: http://www.sciencedirect.com/science/article/B6V1D-3X29253-1/2/d72272d342862ad8e971620909ef82c8
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    Bibliographic Info

    Article provided by Elsevier in its journal Statistics & Probability Letters.

    Volume (Year): 44 (1999)
    Issue (Month): 1 (August)
    Pages: 1-6

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    Handle: RePEc:eee:stapro:v:44:y:1999:i:1:p:1-6

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    Related research

    Keywords: Backward stochastic differential equations Forward-backward stochastic differential equations Comparison theorem;

    References

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    1. Duffie, Darrell & Epstein, Larry G, 1992. "Asset Pricing with Stochastic Differential Utility," Review of Financial Studies, Society for Financial Studies, vol. 5(3), pages 411-36.
    2. 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.
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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.

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