A NOTE ON COMONOTONICITY AND POSITIVITY OF THE CONTROL COMPONENTS OF DECOUPLED QUADRATIC FBSDE (Q2863001)

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A NOTE ON COMONOTONICITY AND POSITIVITY OF THE CONTROL COMPONENTS OF DECOUPLED QUADRATIC FBSDE
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    A NOTE ON COMONOTONICITY AND POSITIVITY OF THE CONTROL COMPONENTS OF DECOUPLED QUADRATIC FBSDE (English)
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    20 November 2013
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    BSDE
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    forward-backward SDE
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    quadratic growth
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    comparison
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    positivity
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    stochastic calculus of variations
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    Malliavin calculus
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    Feynman-Kac formula
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