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

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

zbMATH Keywords

comparison; Malliavin calculus; positivity; Feynman-Kac formula; stochastic calculus of variations; quadratic growth; BSDE; forward-backward SDE

Mathematics Subject Classification ID

60H30: Applications of stochastic analysis (to PDEs, etc.)

60J60: Diffusion processes

60H07: Stochastic calculus of variations and the Malliavin calculus

Related Items

Density analysis of BSDEs, Density analysis of non-Markovian BSDEs and applications to biology and finance, The term structure of Sharpe ratios and arbitrage-free asset pricing in continuous time

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