Article ID Journal Published Year Pages File Type
10527639 Stochastic Processes and their Applications 2005 14 Pages PDF
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.
Related Topics
Physical Sciences and Engineering Mathematics Mathematics (General)
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