| Autor: |
DO SREIS, GONÇALO, DOS REIS, RICARDO J. N. |
| Předmět: |
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| Zdroj: |
Stochastics & Dynamics; Dec2013, Vol. 13 Issue 4, p1-11, 11p |
| Abstrakt: |
In this note we are concerned with the solution of Forward-Backward Stochastic Differ-ential Equations (FBSDE) with drivers that grow quadratically in the control compo-nent (quadratic growth FBSDE or qgFBSDE). The main theorem is a comparison result that allows comparing componentwise the signs of the control processes of two different qgFBSDE. As a by-product one obtains conditions that allow establishing the positivity of the control process. [ABSTRACT FROM AUTHOR] |
| Databáze: |
Complementary Index |
| Externí odkaz: |
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