Convex comparison inequalities for non-Markovian stochastic integrals.

We derive convex comparison inequalities for stochastic integrals of the formand, whereare adapted processes with respect to the filtration generated by a standard Brownian motion, andis an independent Brownian motion. Our method uses forward–backward stochastic integration and the Malliavin calculus, and is also applied to jump–diffusion processes. [ABSTRACT FROM AUTHOR]