Converse comparison theorems for backward stochastic differential equations
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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Volume (Year): 71 (2005)
Issue (Month): 2 (February)
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References listed on IDEAS
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- Zengjing Chen & Larry Epstein, 2002.
"Ambiguity, Risk, and Asset Returns in Continuous Time,"
Econometric Society, vol. 70(4), pages 1403-1443, July.
- 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).
- 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. Full references (including those not matched with items on IDEAS)
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