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Converse comparison theorems for backward stochastic differential equations

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  • Jiang, Long
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    Abstract

    This paper establishes two converse comparison theorems for generators of backward stochastic differential equations (BSDEs), one is for those generators which are mean square locally bounded, the other is for general generators of BSDEs.

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    File URL: http://www.sciencedirect.com/science/article/B6V1D-4DVT5HT-5/2/5a3286ed745c1166a154a674f89960f0
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    Bibliographic Info

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

    Volume (Year): 71 (2005)
    Issue (Month): 2 (February)
    Pages: 173-183

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    Handle: RePEc:eee:stapro:v:71:y:2005:i:2:p:173-183

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    Related research

    Keywords: Backward stochastic differential equation Generator Comparison theorem Converse comparison theorem;

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    1. Zengjing Chen & Larry G. Epstein, 2000. "Ambiguity, risk and asset returns in continuous time," RCER Working Papers 474, University of Rochester - Center for Economic Research (RCER).
    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. Yang, Zhe & Elliott, Robert J., 2013. "A converse comparison theorem for anticipated BSDEs and related non-linear expectations," Stochastic Processes and their Applications, Elsevier, vol. 123(2), pages 275-299.
    2. De Scheemaekere, Xavier, 2011. "A converse comparison theorem for backward stochastic differential equations with jumps," Statistics & Probability Letters, Elsevier, vol. 81(2), pages 298-301, February.
    3. Fan, Sheng-Jun & Hu, Jian-Hua, 2008. "A limit theorem for solutions to BSDEs in the space of processes," Statistics & Probability Letters, Elsevier, vol. 78(8), pages 1024-1033, June.

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