Comparison theorem for Brownian multidimensional BSDEs via jump processes (Q533992): Difference between revisions

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.