A generalized comparison theorem for BSDEs and its applications (Q2428525): Difference between revisions

The authors present a comparison theorem for the scalar backward stochastic differential equation (BSDE) \[ y_t =\xi+\int_t^T g(s,y_s,z_s,)\,d s+\int_t^T z_s\cdot d B_s \] with solution \((y,z)\) taking values in \(\mathbb{R}\times\mathbb{R}^d\). Here \(T>0\) is fixed, \(\xi\) is a scalar, square-integrable terminal condition, the generator \(g\) is a random function \(g:\Omega\times[0,T]\times\mathbb{R}\times\mathbb{R}^d\to\mathbb{R}\) and \(B\) is a standard \(d\)-dimensional Brownian motion. The authors assume that \(g\) is uniformly continuous in \(z\) and weakly monotonic in \(y\). The obtained comparison theorem is used to derive existence and uniqueness results for solutions of the above BSDE. Furthermore it is discussed in what sense the presented results generalise earlier work.