Comparison theorem for Brownian multidimensional BSDEs via jump processes (Q533992): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1016/j.crma.2011.03.012 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2015404531 / rank | |||
Normal rank | |||
Revision as of 02:38, 20 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Comparison theorem for Brownian multidimensional BSDEs via jump processes |
scientific article |
Statements
Comparison theorem for Brownian multidimensional BSDEs via jump processes (English)
0 references
10 May 2011
0 references
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.
0 references
backward stochastic differential equation
0 references
comparison theorem
0 references
Poisson random measure
0 references
