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A comonotonic theorem for BSDEs · Study

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ArticleA comonotonic theorem for BSDEs

Zengjing Chen2004

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Articlebronze2004

A comonotonic theorem for BSDEs

Zengjing Chen · Reg J. Kulperger · Gang Wei

33 citations·0/0 files stored·Stochastic Processes and their Applications

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Stochastic processes and financial applications Nonlinear Differential Equations Analysis Fuzzy Systems and Optimization

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References

2005Stochastic Integration and Differential Equations 1990Adapted solution of a backward stochastic differential equation 1997Backward Stochastic Differential Equations in Finance 1990Stochastic Integration and Differential Equations 2002Ambiguity, Risk, and Asset Returns in Continuous Time 1994Solving forward-backward stochastic differential equations explicitly — a four step scheme 1995Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market 1991Probabilistic interpretation for systems of quasilinear parabolic partial differential equations

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Year2004

Typearticle

Published2004-09-21

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations33

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.spa.2004.08.006

openalex_workW2055448591

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