The comparison theorem of FBSDE
AbstractWe 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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Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 44 (1999)
Issue (Month): 1 (August)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
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- 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.
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- 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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