A NOTE ON COMONOTONICITY AND POSITIVITY OF THE CONTROL COMPONENTS OF DECOUPLED QUADRATIC FBSDE
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Publication:2863001
DOI10.1142/S0219493713500056zbMath1279.60084arXiv1301.4370MaRDI QIDQ2863001
Gonçalo dos Reis, Ricardo José Nunes dos Reis
Publication date: 20 November 2013
Published in: Stochastics and Dynamics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1301.4370
comparison; Malliavin calculus; positivity; Feynman-Kac formula; stochastic calculus of variations; quadratic growth; BSDE; forward-backward SDE
60H30: Applications of stochastic analysis (to PDEs, etc.)
60J60: Diffusion processes
60H07: Stochastic calculus of variations and the Malliavin calculus
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