Search Results - subject:"Comparison theorem"

Approximate option pricing and hedging in the CEV model via path-wise comparison of stochastic processes

Krasin, Vladislav Y.; Smirnov, Ivan; Melʹnikov, … - In: Annals of finance 14 (2018) 2, pp. 195-209

Persistent link: https://www.econbiz.de/10011945591

Utility maximization in an illiquid market in continuous time

Soner, Halil Mete; Vukelja, Mirjana - In: Mathematical methods of operations research 84 (2016) 2, pp. 285-321

Persistent link: https://www.econbiz.de/10011673528

On the comparison theorem for multi-dimensional G-SDEs

Luo, Peng; Wang, Falei - In: Statistics & Probability Letters 96 (2015) C, pp. 38-44

-dimensional G-Brownian motion. Then we obtain a sufficient and necessary condition for comparison theorem of multi-dimensional G …

Persistent link: https://www.econbiz.de/10011115952

Backward doubly stochastic differential equations with stochastic Lipschitz condition

Owo, Jean-Marc - In: Statistics & Probability Letters 96 (2015) C, pp. 75-84

satisfy a stochastic Lipschitz condition. A comparison theorem for stochastic Lipschitz is also proved. …

Persistent link: https://www.econbiz.de/10011115971

Comparison theorems for some backward stochastic Volterra integral equations

Wang, Tianxiao; Yong, Jiongmin - In: Stochastic Processes and their Applications 125 (2015) 5, pp. 1756-1798

For some backward stochastic Volterra integral equations (BSVIEs) in multi-dimensional Euclidean spaces, comparison theorems are established in a systematic way for the adapted solutions and adapted M-solutions. For completeness, comparison theorems for (forward) stochastic differential...

Persistent link: https://www.econbiz.de/10011209774

Stochastic quadratic BSDE with two RCLL obstacles

Essaky, E.H.; Hassani, M.; Ouknine, Y. - In: Stochastic Processes and their Applications 125 (2015) 6, pp. 2147-2189

We study the problem of existence of solutions for generalized backward stochastic differential equation with two reflecting barriers (GRBSDE for short) under weaker assumptions on the data. Roughly speaking we show the existence of a maximal solution for GRBSDE when the terminal condition ξ is...

Persistent link: https://www.econbiz.de/10011209779

Representation theorems for generators of BSDEs with monotonic and convex growth generators

Zheng, Shiqiu; Li, Shoumei - In: Statistics & Probability Letters 97 (2015) C, pp. 197-205

comparison theorem for such BSDEs. …

Persistent link: https://www.econbiz.de/10011189353

Comparison theorem, Feynman–Kac formula and Girsanov transformation for BSDEs driven by G-Brownian motion

Hu, Mingshang; Ji, Shaolin; Peng, Shige; Song, Yongsheng - In: Stochastic Processes and their Applications 124 (2014) 2, pp. 1170-1195

In this paper, we study comparison theorem, nonlinear Feynman–Kac formula and Girsanov transformation of the following …

Persistent link: https://www.econbiz.de/10011064948

Stochastic differential equations driven by G-Brownian motion and ordinary differential equations

Luo, Peng; Wang, Falei - In: Stochastic Processes and their Applications 124 (2014) 11, pp. 3869-3885

variable in (Ω,F). By this result, we obtain a comparison theorem forG-SDEs and its applications. …

Persistent link: https://www.econbiz.de/10011065032

Singular control and optimal stopping of SPDEs, and backward SPDEs with reflection

Øksendal, Bernt K.; Sulem, Agnès; Zhang, Tusheng - In: Mathematics of operations research 39 (2014) 2, pp. 464-486

Persistent link: https://www.econbiz.de/10010384186