A comonotonic theorem for BSDEs

Zengjing Chen, Reg Kulperger and Gang Wei

Stochastic Processes and their Applications, 2005, vol. 115, issue 1, 41-54

Abstract: Pardoux and Peng (Systems Control Lett. 14 (1990) 55) introduced a class of nonlinear backward stochastic differential equations (BSDEs). According to Pardoux and Peng's theorem, the solution of this type of BSDE 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 the first part y. In this paper, we shall explore the properties of the second part z. A comonotonic theorem with respect to z is obtained. As an application of this theorem, we prove an integral representation theorem of the solution of BSDEs.

Keywords: Backward; stochastic; differential; equation; (BSDE); Choquet; integral; Capacity; Partial; differential; equation; (PDE) (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (6)

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