A New Comparison Theorem of Multidimensional BSDEs

A New Comparison Theorem of Multidimensional BSDEs

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摘要 In this paper, we first study a property about the generator g of Backward Stochastic Differential Equation （BSDE） when the price of contingent claims can be represented by a multidimensional BSDE in the no-arbitrage financial market. Furthermore, motivated by the behavior of agents in finance market, we introduce a new total order q on Rn and obtain a necessary and sufficient condition for comparison theorem of multidimensional BSDEs under this order. We also give some further results for q In this paper, we first study a property about the generator g of Backward Stochastic Differential Equation （BSDE） when the price of contingent claims can be represented by a multidimensional BSDE in the no-arbitrage financial market. Furthermore, motivated by the behavior of agents in finance market, we introduce a new total order q on Rn and obtain a necessary and sufficient condition for comparison theorem of multidimensional BSDEs under this order. We also give some further results for q

作者 Pan-yu WU Zeng-jing CHEN

机构地区 Qilu Securities Institute for Financial Studies School of Mathematics

出处《Acta Mathematicae Applicatae Sinica》 SCIE CSCD 2015年第1期131-138,共8页 应用数学学报（英文版）

基金 Supported partly by the National Science Foundation of China(Grant No.11231005) the China Postdoctoral Science Foundation(Grant No.2013M541899) the Natural Science Foundation of Shandong Province of China(Grant No.ZR2013AQ021)

关键词 backward stochastic differential equation comparison theorem viability property backward stochastic differential equation, comparison theorem, viability property

分类号 O211.63 [理学—概率论与数理统计] O211.61 [理学—概率论与数理统计]

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参考文献10

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Acta Mathematicae Applicatae Sinica

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A New Comparison Theorem of Multidimensional BSDEs

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