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

Autor: DO SREIS, GONÇALO, DOS REIS, RICARDO J. N.
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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
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