A note on comonotonicity and positivity of the control components of decoupled quadratic FBSDE
| Autor: | Reis, Gonçalo Dos, Reis, Ricardo J. N. dos |
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| Rok vydání: | 2013 |
| Předmět: | |
| Druh dokumentu: | Working Paper |
| DOI: | 10.1142/S0219493713500056 |
| Popis: | In this small note we are concerned with the solution of Forward-Backward Stochastic Differential Equations (FBSDE) with drivers that grow quadratically in the control component (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 byproduct one obtains conditions that allow establishing the positivity of the control process. Comment: accepted for publication |
| Databáze: | arXiv |
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