Converse comparison theorems for backward stochastic differential equations

DOI10.1016/J.SPL.2004.10.032MaRDI QIDQ2483852zbMATH OpenOpenAlexFDO

Authors Long Jiang

Publication date 1 August 2005

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

Full work available at URL https://doi.org/10.1016/j.spl.2004.10.032

zbMATH Keywords

generator

Mathematics Subject Classification ID

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

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Cites work

• A Generalized dynamic programming principle and hamilton-jacobi-bellman equation
• A converse comparison theorem for BSDEs and related properties of \(g\)-expectation
• A general converse comparison theorem for backward stochastic differential equations
• A property of backward stochastic differential equations
• Adapted solution of a backward stochastic differential equation
• Ambiguity, Risk, and Asset Returns in Continuous Time
• Backward Stochastic Differential Equations in Finance
• Some results on the uniqueness of generators of backward stochastic differential equations

Cited in

(21)

• Converse comparison theorems for multidimensional anticipated backward stochastic differential equations
• A converse comparison theorem for g-expectations
• A representation theorem for generators of BSDEs with continuous linear-growth generators in the space of processes
• Continuous dependence properties on solutions of backward stochastic differential equation
• A limit theorem for solutions to BSDEs in the space of processes
• Converse comparison theorems for reflected BSDEs with double obstacles
• Comparison and converse comparison theorems for backward stochastic differential equations with Markov chain noise
• Comparison theorem for diagonally quadratic BSDEs
• Representation and converse comparison theorems for multidimensional BSDEs
• A converse comparison theorem for backward stochastic differential equations with jumps
• A general comparison theorem for backward stochastic differential equations
• Representation theorem for generators of BSDEs driven by \(G\)-Brownian motion and its applications
• A relationship between the conditional \(g\)-evaluation system and the generator \(g\) and its applica\-tions
• Converse comparison problems for reflected backward stochastic differential equations. I
• A general converse comparison theorem for backward stochastic differential equations
• A converse comparison theorem for BSDEs and related properties of \(g\)-expectation
• A converse comparison theorem for backward stochastic differential equations
• The converse comparison theorems for generators of backward stochastic differential equations
• A converse comparison theorem for some backward stochastic differential equations
• A local strict comparison theorem and converse comparison theorems for reflected backward stochastic differential equations
• Necessary and sufficient condition for the comparison theorem of multidimensional anticipated backward stochastic differential equations

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