A new comparison theorem of multidimensional BSDEs
نویسندگان
چکیده
منابع مشابه
Comparison theorem for Brownian multidimensional BSDEs via jump processes
In this note, we provide an original proof of the comparison theorem for multidimensional Brownian BSDEs in the case where at each line k the generator depends on the matrix variable Z only through its row k.
متن کاملA uniqueness theorem for solution of BSDEs
where W is a standard d-dimensional Brownian motion on a probability space (Ω,F , (Ft)0≤t≤T , P ) with (Ft)0≤t≤T the filtration generated by W . The function g : Ω × [0, T ] × R × R → R is called generator of (1.1). Here T is the terminal time, and ξ is a R-valued FT -adapted random variable; (g, T, ξ) are the parameters of (1.1). The solution (yt, zt)t∈[0,T ] is a pair of Ft-adapted and square...
متن کاملDonsker-type Theorem for Bsdes
This paper is devoted to the proof of Donsker’s theorem for backward stochastic differential equations (BSDEs for short). The main objective is to give a simple method to discretize in time a BSDE. Our approach is based upon the notion of “convergence of filtrations” and covers the case of a (y, z)–dependent generator.
متن کاملSplitting multidimensional BSDEs and finding local equilibria
We introduce a new notion of local solution of backward stochastic differential equations (BSDEs) and prove that multidimensional quadratic BSDEs are locally but not globally solvable. Applied in a financial context on optimal investment, our results show that there exist local but no global equilibria when agents take both the absolute and the relative performance compared to their peers into ...
متن کاملon the comparison of keyword and semantic-context methods of learning new vocabulary meaning
the rationale behind the present study is that particular learning strategies produce more effective results when applied together. the present study tried to investigate the efficiency of the semantic-context strategy alone with a technique called, keyword method. to clarify the point, the current study seeked to find answer to the following question: are the keyword and semantic-context metho...
15 صفحه اولذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Acta Mathematicae Applicatae Sinica, English Series
سال: 2015
ISSN: 0168-9673,1618-3932
DOI: 10.1007/s10255-012-0155-5