Comparison theorem for Brownian multidimensional BSDEs via jump processes (Q533992): Difference between revisions
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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. | |||
| Property / review text: 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. / rank | |||
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| Property / reviewed by | |||
| Property / reviewed by: Dominique Lépingle / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 60H10 / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 60J75 / rank | |||
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| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 5886336 / rank | |||
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| Property / zbMATH Keywords | |||
backward stochastic differential equation | |||
| Property / zbMATH Keywords: backward stochastic differential equation / rank | |||
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| Property / zbMATH Keywords | |||
comparison theorem | |||
| Property / zbMATH Keywords: comparison theorem / rank | |||
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| Property / zbMATH Keywords | |||
Poisson random measure | |||
| Property / zbMATH Keywords: Poisson random measure / rank | |||
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Revision as of 08:34, 1 July 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Comparison theorem for Brownian multidimensional BSDEs via jump processes |
scientific article |
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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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