Comonotonicity of Backward Stochastic Differential Equations

Zengjing Chen and Xiangrong Wang
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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

Chapter 3 in Recent Developments in Mathematical Finance, 2001, pp 28-38 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractPardoux 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.

Keywords: Proceedings; Conference; Mathematical Finance; Shanghai (China) (search for similar items in EconPapers)
Date: 2001
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