Comparison of solutions of stochastic equations and applications (Q4949462)

The authors consider the following versions of comparison theorem for solutions of stochastic differential equations: (a) Two stochastic systems with nonrandom coefficients and having the same diffusion coefficients which depend on only one of the coordinates of the solution. In this case the result is stronger than the existing results. (b) One-dimensional equations with different diffusions that are the deterministic functions and with random drift coefficients. In this case the well-known relations between diffusion and drift coefficients are replaced by less restrictive ones, and Galchuk-Davis method is extended. (c) Higher dimensional systems with different drift and diffusion coefficients, where \(j\)th equation depends only on \(j\)th coordinate of the solution. Lipschitz conditions are assumed everywhere. The paper contains many interesting examples, some of which are arising in stochastic finance theory, and an extended bibliography.