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Subject
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Comparison theorem 18 Backward stochastic differential equation 6 Stochastic process 4 Stochastischer Prozess 4 Converse comparison theorem 3 () C61 2 Analysis 2 Anticipated backward stochastic differential equations 2 CAPM 2 Classification: (AMS 2000) 60H 2 Comparison Theorem 2 Forward-Backward SDE's 2 Habit 2 Hamilton-Jacobi-Bellman equation 2 Hedging 2 Mathematical analysis 2 Option pricing theory 2 Optionspreistheorie 2 Search theory 2 Suchtheorie 2 Theorie 2 Theory 2 Utility 2 Viscosity solution 2 (f 1 Adjoint equation 1 Anticipated BSDEs 1 BSDE 1 Backward SDEs 1 Backward Stochastic Differential Equation 1 Backward doubly stochastic differential equation 1 Backward stochastic Volterra integral equation 1 Black-Scholes model 1 Black-Scholes-Modell 1 Choquet Expectation 1 Coherent Risk 1 Constant elasticity of variance model 1 Control theory 1 Converse Comparison Theorem 1 Convex Risk 1
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Online availability
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Undetermined 21 Free 1
Type of publication
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Article 24 Book / Working Paper 1
Type of publication (narrower categories)
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Article in journal 4 Aufsatz in Zeitschrift 4 Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
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Undetermined 20 English 5
Author
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Antonelli, Fabio 2 Barucci, Emilio 2 Fan, ShengJun 2 Li, Zhi 2 Luo, Jiaowan 2 Luo, Peng 2 Mancino, Maria Elvira 2 Wang, Falei 2 Boetius, Frederik 1 Chen, Zengjing 1 Denis, Laurent 1 Elliott, Robert J. 1 Essaky, E.H. 1 Griffin, Byron L. 1 Hassani, M. 1 He, Kun 1 Hu, Mingshang 1 Ji, Shaolin 1 Jiang, Long 1 Krasin, Vladislav Y. 1 Kulperger, Reg 1 Ladde, G.S. 1 Li, Shoumei 1 Lu, Wen 1 Matoussi, Anis 1 Melʹnikov, Aleksandr V. 1 Ouknine, Y. 1 Owo, Jean-Marc 1 Peng, Shige 1 Ren, Jie 1 Ren, Yong 1 Shreve, Steven E. 1 Smirnov, Ivan 1 Soner, Halil Mete 1 Song, Yongsheng 1 Sulem, Agnès 1 Vecer, Jan 1 Vukelja, Mirjana 1 Wang, Tianxiao 1 Wang, Wenyuan 1
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Statistics & Probability Letters 9 Stochastic Processes and their Applications 7 Annals of finance 1 CoFE discussion papers 1 Computational Statistics 1 Finance and Stochastics 1 Journal of mathematical finance 1 Mathematical Methods of Operations Research 1 Mathematical methods of operations research 1 Mathematics and Computers in Simulation (MATCOM) 1 Mathematics of operations research 1
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RePEc 20 ECONIS (ZBW) 5
Showing 11 - 20 of 25
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Maximum principle for quasilinear SPDE’s on a bounded domain without regularity assumptions
Denis, Laurent; Matoussi, Anis - In: Stochastic Processes and their Applications 123 (2013) 3, pp. 1104-1137
We prove a maximum principle for local solutions of quasi-linear parabolic stochastic PDEs, with non-homogeneous second order operator on a bounded domain and driven by a space–time white noise. Our method based on an approximation of the domain and the coefficients of the operator, does not...
Persistent link: https://www.econbiz.de/10011064960
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A converse comparison theorem for anticipated BSDEs and related non-linear expectations
Yang, Zhe; Elliott, Robert J. - In: Stochastic Processes and their Applications 123 (2013) 2, pp. 275-299
The converse comparison theorem has received much attention in the theory of backward stochastic differential equations … (BSDEs). However, no such theorem has been proved for anticipated BSDEs. In this paper, we derive a converse comparison … theorem by first giving an existence and uniqueness theorem for adapted solutions of anticipated BSDEs with a stopping time …
Persistent link: https://www.econbiz.de/10011064978
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A representation theorem for generators of BSDEs with finite or infinite time intervals and linear-growth generators
Zhang, HengMin; Fan, ShengJun - In: Statistics & Probability Letters 83 (2013) 3, pp. 724-734
of generators and a converse comparison theorem of solutions are established in this paper. …
Persistent link: https://www.econbiz.de/10010616881
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Anticipated backward stochastic differential equations on Markov chains
Lu, Wen; Ren, Yong - In: Statistics & Probability Letters 83 (2013) 7, pp. 1711-1719
, continuous time Markov chains. The adapted solution of those equations as well as a scalar comparison theorem will be established. …
Persistent link: https://www.econbiz.de/10010665592
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Risk measures and nonlinear expectations
Chen, Zengjing; He, Kun; Kulperger, Reg - In: Journal of mathematical finance 3 (2013) 3, pp. 383-391
Persistent link: https://www.econbiz.de/10010239533
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Mean-field reflected backward stochastic differential equations
Li, Zhi; Luo, Jiaowan - In: Statistics & Probability Letters 82 (2012) 11, pp. 1961-1968
point argument. Under monotone assumptions for coefficients, we show a comparison theorem for MF-RBSDEs. We finally get an … existence and a comparison theorem of the minimal solution when the coefficients are continuous, non-decreasing in y′ and have a …
Persistent link: https://www.econbiz.de/10011039991
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On backward stochastic differential equations and strict local martingales
Xing, Hao - In: Stochastic Processes and their Applications 122 (2012) 6, pp. 2265-2291
We study a backward stochastic differential equation (BSDE) whose terminal condition is an integrable function of a local martingale and generator has bounded growth in z. When the local martingale is a strict local martingale, the BSDE admits at least two different solutions. Other than a...
Persistent link: https://www.econbiz.de/10010574716
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One barrier reflected backward doubly stochastic differential equations with discontinuous monotone coefficients
Li, Zhi; Luo, Jiaowan - In: Statistics & Probability Letters 82 (2012) 10, pp. 1841-1848
continuous barrier and discontinuous (left or right continuous) monotone generator. An existence theorem and a comparison theorem …
Persistent link: https://www.econbiz.de/10010597142
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One-dimensional BSDEs with left-continuous, lower semi-continuous and linear-growth generators
Fan, ShengJun; Jiang, Long - In: Statistics & Probability Letters 82 (2012) 10, pp. 1792-1798
this setting, the existence of the minimal solution to the BSDE. And we also prove a comparison theorem and a Levi type …
Persistent link: https://www.econbiz.de/10010597154
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Anticipated backward stochastic differential equations with non-Lipschitz coefficients
Wu, Hao; Wang, Wenyuan; Ren, Jie - In: Statistics & Probability Letters 82 (2012) 3, pp. 672-682
for anticipated backward stochastic differential equations as well as a comparison theorem are obtained. The existence and …
Persistent link: https://www.econbiz.de/10010571753
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