A NOTE ON COMONOTONICITY AND POSITIVITY OF THE CONTROL COMPONENTS OF DECOUPLED QUADRATIC FBSDE
2013 ◽
Vol 13
(04)
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pp. 1350005
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Keyword(s):
In this 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 by-product one obtains conditions that allow establishing the positivity of the control process.
2019 ◽
Vol 129
(5)
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pp. 1492-1532
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2005 ◽
Vol 115
(7)
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pp. 1107-1129
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2013 ◽
Vol 123
(10)
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pp. 3770-3799
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Vol 118
(3)
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pp. 503-515
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2021 ◽
Vol 37
(7)
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pp. 1156-1170