Zhang Hui, Zhu Qingfeng, Lai Xiang. Malliavin Derivative and Comonotonic Theorems for BSDEs[J]. Chinese Journal of Applied Probability and Statistics, 2010, 26(4): 337-346.
Citation: Zhang Hui, Zhu Qingfeng, Lai Xiang. Malliavin Derivative and Comonotonic Theorems for BSDEs[J]. Chinese Journal of Applied Probability and Statistics, 2010, 26(4): 337-346.
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Malliavin Derivative and Comonotonic Theorems for BSDEs

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  • 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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