Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
10527639 | Stochastic Processes and their Applications | 2005 | 14 Pages |
Abstract
Pardoux and Peng (Systems Control Lett. 14 (1990) 55) introduced a class of nonlinear backward stochastic differential equations (BSDEs). According to Pardoux and Peng's theorem, the solution of this type of BSDE consists of a pair of adapted processes, say (y,z). Since then, many researchers have been exploring the properties of this pair solution (y,z), especially the properties of the first part y. In this paper, we shall explore the properties of the second part z. A comonotonic theorem with respect to z is obtained. As an application of this theorem, we prove an integral representation theorem of the solution of BSDEs.
Keywords
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Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Zengjing Chen, Reg Kulperger, Gang Wei,