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

Goncalo Dos Reis; Ricardo J. N. Dos Reis

doi:10.1142/S0219493713500056

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

Goncalo Dos Reis^*, Ricardo J. N. Dos Reis

^*Corresponding author for this work

School of Mathematics

Research output: Contribution to journal › Article › peer-review

Abstract / Description of output

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.

Original language	English
Article number	1350005
Number of pages	11
Journal	Stochastics and dynamics
Volume	13
Issue number	4
DOIs	https://doi.org/10.1142/S0219493713500056
Publication status	Published - Dec 2013

Keywords / Materials (for Non-textual outputs)

BSDE
forward-backward SDE
quadratic growth
comparison
positivity
stochastic calculus of variations
Malliavin calculus
Feynman-Kac formula
GROWTH
BSDES

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10.1142/S0219493713500056

A note on comonotonicity and positivity of the control components of decoupled quadratic FBSDE
Electronic version of an article published as [Stochastics and Dynamics, Volume 13, Issue 04, December 2013, 11 Pages] [Article DOI 10.1142/S0219493713500056] © [copyright World Scientific Publishing Company] [http://www.worldscientific.com/doi/abs/10.1142/S0219493713500056?queryID=61%2F574811]
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abstract = "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.",

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KW - BSDE

KW - forward-backward SDE

KW - quadratic growth

KW - comparison

KW - positivity

KW - stochastic calculus of variations

KW - Malliavin calculus

KW - Feynman-Kac formula

KW - GROWTH

KW - BSDES

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

Abstract / Description of output

Keywords / Materials (for Non-textual outputs)

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