The comparison theorem of FBSDE

✍ Scribed by Zhen Wu

• Publisher: Elsevier Science
• Year: 1999
• Tongue: English
• Weight: 86 KB
• Volume: 44
• Category: Article
• ISSN: 0167-7152
• DOI: 10.1016/s0167-7152(98)00239-9

✦ Synopsis

We prove one comparison theorem of FBSDE using pure probabilistic method and duality technique. The method allows the coe cients in FBSDE to be random and with possible degeneracy in the forward equation.