Comparison theorem for Brownian multidimensional BSDEs via jump processes (Q533992)

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scientific article; zbMATH DE number 5886336
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    Comparison theorem for Brownian multidimensional BSDEs via jump processes
    scientific article; zbMATH DE number 5886336

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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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