A local strict comparison theorem and converse comparison theorems for reflected backward stochastic differential equations

DOI10.1016/j.spa.2006.12.008zbMath1125.60067arXivmath/0701021OpenAlexW2063054846MaRDI QIDQ2642033

Shanjian Tang, Juan Li

Publication date: 20 August 2007

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0701021

zbMATH Keywords

comparison theoremsreflected backward stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items

Converse comparison theorems for multidimensional anticipated backward stochastic differential equations ⋮ Multi-dimensional backward stochastic differential equations with one reflecting lower barrier of Itô diffusion type ⋮ Reflected backward stochastic differential equations with two barriers and Dynkin games under Knightian uncertainty ⋮ Reflected forward–backward stochastic differential equations and related PDEs

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