A comonotonic theorem for BSDEs

Stochastic Processes and their Applications

Volumn 115, Issue 1, 2005, Pages 41-54

  Chen, Zengjing ^a   Kulperger, Reg ^b   Wei, Gang ^c  

^a SHANDONG UNIVERSITY   (China)

^b UNIVERSITY OF WESTERN ONTARIO   (Canada)

^c HONG KONG BAPTIST UNIVERSITY   (Hong Kong)

Author keywords

Backward stochastic differential equation (BSDE); Capacity; Choquet integral; Partial differential equation (PDE)

Indexed keywords

INTEGRAL EQUATIONS; PARTIAL DIFFERENTIAL EQUATIONS; PROBABILITY; RANDOM PROCESSES;

BACKWARD STOCHASTIC DIFFERENTIAL EQUATION; CHOQUET INTEGRAL; COMONOTONIC THEOREM;

DIFFERENTIAL EQUATIONS;

EID: 10244225274     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spa.2004.08.006     Document Type: Article

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