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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- 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.
- 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).
- Zengjing Chen & Larry Epstein, 2002. "Ambiguity, Risk, and Asset Returns in Continuous Time," Econometrica, Econometric Society, vol. 70(4), pages 1403-1443, July.
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