A generalized comparison theorem for BSDEs and its applications (Q2428525): Difference between revisions
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English | A generalized comparison theorem for BSDEs and its applications |
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A generalized comparison theorem for BSDEs and its applications (English)
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26 April 2012
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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.
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backward stochastic differential equation
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comparison theorem
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uniformly continuous generator
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monotonic generator
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existence and uniqueness
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