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arXiv · 1301.4370

A note on comonotonicity and positivity of the control components of decoupled quadratic FBSDE

Gonçalo Dos Reis·Ricardo J. N. dos Reis
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Abstract

In this small 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 byproduct one obtains conditions that allow establishing the positivity of the control process.

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Gonçalo Dos Reis, Ricardo J. N. dos Reis. 2013-01-18. A note on comonotonicity and positivity of the control components of decoupled quadratic FBSDE. https://doi.org/10.1142/s0219493713500056

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