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

DOI10.1142/S0219493713500056zbMath1279.60084arXiv1301.4370OpenAlexW2135431233MaRDI QIDQ2863001

Gonçalo dos Reis, Ricardo José Nunes dos Reis

Publication date: 20 November 2013

Published in: Stochastics and Dynamics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1301.4370

zbMATH Keywords

comparisonMalliavin calculuspositivityFeynman-Kac formulastochastic calculus of variationsquadratic growthBSDEforward-backward SDE

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (3)

Density analysis of BSDEs ⋮ Density analysis of non-Markovian BSDEs and applications to biology and finance ⋮ The term structure of Sharpe ratios and arbitrage-free asset pricing in continuous time

Cites Work

• Densities of one-dimensional backward SDEs
• Backward stochastic differential equations and partial differential equations with quadratic growth.
• On securitization, market completion and equilibrium risk transfer
• Path regularity and explicit convergence rate for BSDE with truncated quadratic growth
• Classical and variational differentiability of BSDEs with quadratic growth
• A comonotonic theorem for BSDEs
• Utility maximization in incomplete markets
• PRICING AND HEDGING OF DERIVATIVES BASED ON NONTRADABLE UNDERLYINGS
• Backward Stochastic Differential Equations in Finance

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