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Comonotonicity of Backward Stochastic Differential Equations

In: Recent Developments In Mathematical Finance

Author

Listed:
  • Zengjing Chen

    (Department of Mathematics, Shandong University, Jinan, 250100, P.R. of China)

  • Xiangrong Wang

    (Department of Mathematics, Shandong University, Jinan, 250100, P.R. of China)

Abstract

Pardoux and Peng introduced a class of nonlinear backward stochastic differential equations (shortly BSDEs) in 1990, according to Pardoux and Peng's theorem, the solution of this kind of BSDEs consists of a pair of adapted processes, say (y,z). Since then, many researchers have been exploring the properties of this pair solution (y,z), especially the properties of part y. In this paper, we shall explore the properties of z. We give a comonotonic theorem for part z.

Suggested Citation

  • Zengjing Chen & Xiangrong Wang, 2001. "Comonotonicity of Backward Stochastic Differential Equations," World Scientific Book Chapters, in: Jiongmin Yong (ed.), Recent Developments In Mathematical Finance, chapter 3, pages 28-38, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812799579_0003
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