A comonotonic theorem for BSDEs
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Publication:2485815
DOI10.1016/j.spa.2004.08.006zbMath1070.60050OpenAlexW2055448591MaRDI QIDQ2485815
Gang Wei, Zeng-Jing Chen, Reg J. Kulperger
Publication date: 5 August 2005
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spa.2004.08.006
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Cites Work
- Adapted solution of a backward stochastic differential equation
- Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob-Meyer's type
- Probabilistic interpretation of a system of quasilinear elliptic partial differential equations under Neumann boundary conditions
- Solving forward-backward stochastic differential equations explicitly -- a four step scheme
- Generalized BSDEs and nonlinear Neumann boundary value problems
- Constructing gamma-martingales with prescribed limit, using backwards SDE
- Theory of capacities
- Probabilistic interpretation for systems of quasilinear parabolic partial differential equations
- Backward Stochastic Differential Equations in Finance
- Backward equations, stochastic control and zero-sum stochastic differential games
- Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
- Ambiguity, Risk, and Asset Returns in Continuous Time
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