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Converse comparison theorems for backward stochastic differential equations


  • Jiang, Long


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.

Suggested Citation

  • Jiang, Long, 2005. "Converse comparison theorems for backward stochastic differential equations," Statistics & Probability Letters, Elsevier, vol. 71(2), pages 173-183, February.
  • Handle: RePEc:eee:stapro:v:71:y:2005:i:2:p:173-183

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    References listed on IDEAS

    1. Zengjing Chen & Larry Epstein, 2002. "Ambiguity, Risk, and Asset Returns in Continuous Time," Econometrica, Econometric Society, vol. 70(4), pages 1403-1443, July.
    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. 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.
    2. 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.
    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.
    4. repec:eee:stapro:v:127:y:2017:i:c:p:67-74 is not listed on IDEAS


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