Comparison theorem for Brownian multidimensional BSDEs via jump processes (Q533992): Difference between revisions
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| Property / DOI: 10.1016/j.crma.2011.03.012 / rank | |||
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| Property / cites work: Viability property for a backward stochastic differential equation and applications to partial differential equations / rank | |||
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| Property / cites work: On the comparison theorem for multidimensional BSDEs / rank | |||
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| Property / cites work: A Generalized dynamic programming principle and hamilton-jacobi-bellman equation / rank | |||
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| Property / cites work: Backward stochastic differential equations with jumps and related nonlinear expectations / rank | |||
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| Property / DOI: 10.1016/J.CRMA.2011.03.012 / rank | |||
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Latest revision as of 20:44, 9 December 2024
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| Language | Label | Description | Also known as |
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| English | Comparison theorem for Brownian multidimensional BSDEs via jump processes |
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Comparison theorem for Brownian multidimensional BSDEs via jump processes (English)
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10 May 2011
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This note provides a new comparison theorem for multidimensional BSDEs. Here each line \(k\) of the generator is assumed to depend on the matrix variable \(Z\) only through its row \(k\). In the proof, a random measure is introduced which allows one to use existing results for BSDEs with jumps.
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backward stochastic differential equation
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comparison theorem
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Poisson random measure
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