CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST 2010, 26(4) 337-346 DOI:      ISSN: 1001-4268 CN: 31-1256

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Malliavin Derivative and Comonotonic Theorems for BSDEs

Zhang Hui,Zhu Qingfeng,Lai Xiang

School of Statistics and Mathematics,Shandong University of Finance School of Economics, Shandong University School of Mathematics and System Sciences,Shandong University

Abstract��

In this paper, the theory of Malliavin
derivative has been applied to explore the solution $(y,z)$ of
BSDEs. First a method of comparing part $z$ has been got via the
Malliavin derivative of  part $y$. As an application of this method,
comonotonic theorems of BSDEs, which consist of stochastic
generators, have been obtained.

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