A general comparison theorem for backward stochastic differential equations

DOI10.1239/aap/1282924067zbMath1221.60079MaRDI QIDQ3059700

Robert J. Elliott, Samuel N. Cohen, Charles E. M. Pearce

Publication date: 26 November 2010

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/aap/1282924067

zbMATH Keywords

comparison theorem; dynamic risk measure; nonlinear expectation; BSDE

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

93E20: Optimal stochastic control

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