Comparison theorem for solutions of backward stochastic differential equations with continuous coefficient

DOI10.1016/S0167-7152(01)00178-XMaRDI QIDQ1612975zbMATH OpenOpenAlexFDO

Authors Jicheng Liu, Jiagang Ren

Publication date 5 September 2002

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0167-7152(01)00178-x

zbMATH Keywords

backward stochastic differential equationscomparison theorem

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44)

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Cites work

• A Generalized dynamic programming principle and hamilton-jacobi-bellman equation
• A comparison theorem for solutions of backward stochastic differential equations.
• A converse comparison theorem for BSDEs and related properties of \(g\)-expectation
• Adapted solution of a backward stochastic differential equation
• Adapted solutions of backward stochastic differential equations with non- Lipschitz coefficients
• Backward stochastic differential equations and applications to optimal control
• Backward stochastic differential equations and partial differential equations with quadratic growth.
• Backward stochastic differential equations with continuous coefficient
• Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob-Meyer's type
• On solutions of backward stochastic differential equations with jumps and applications

Cited in

(17)

• The adapted solution and comparison theorem for backward stochastic differential equations with Poisson jumps and applications
• BSDE driven by Poisson point processes with discontinuous coefficient
• Comparison theorems for some backward stochastic Volterra integral equations
• Anticipated backward stochastic differential equations with non-Lipschitz coefficients
• Homeomorphism of solutions to backward SDEs and applications
• The comparison theorem for solutions of BSDEs driven by continuous semi-martingales
• One-dimensional BSDEs with left-continuous, lower semi-continuous and linear-growth generators
• Anticipated backward stochastic differential equations
• BSDEs driven by \(G\)-Brownian motion with non-Lipschitz coefficients
• Two comparison theorems of BSDEs
• Monotonic limit properties for solutions of BSDEs with continuous coefficients
• A general comparison theorem for backward stochastic differential equations
• Existence of solutions to one-dimensional BSDEs with semi-linear growth and general growth generators
• A comparison theorem for solutions of backward stochastic differential equations.
• \(L^p\) solutions of anticipated backward stochastic differential equations under monotonicity and general increasing conditions
• Smallest g-supersolution for BSDE with continuous drift coefficients
• Existence for BSDE with superlinear–quadratic coefficient

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