Acta mathematica scientia,Series A

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The Comparison Theorem for Solutions of Forward-backward Stochastic Differential Equations

Guo Zijun; Wu Rangquan   

  1. Science Faculty, South China Agriculatural University, Guangzhou 510642
  • Received:2005-12-21 Revised:2006-12-30 Online:2007-04-25 Published:2007-04-25
  • Contact: Guo Zijun

Abstract: The comparison theorems for solutions of FBSDEs are discussed. The FBSDEs's applications in stochastic optimal control and modern financial theory are introduced. By using the tools of Ito's formula and stopping time, a comparison theorem for FBSDEs is acquired by introducing helping linear FBSDEs.

Key words: Forward-backward stochastic differential equations, Solutions, Comparison theorems, Stopping time

CLC Number: 

  • 60H10
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