Converse comparison theorems for backward stochastic differential equations
AbstractThis 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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Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 71 (2005)
Issue (Month): 2 (February)
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"Ambiguity, risk and asset returns in continuous time,"
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- 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.
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