Abstract
We derive convex comparison inequalities for stochastic integrals of the form and , where are adapted processes with respect to the filtration generated by a standard Brownian motion , and is an independent Brownian motion. Our method uses forward–backward stochastic integration and the Malliavin calculus, and is also applied to jump–diffusion processes.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
