A local strict comparison theorem and converse comparison theorems for reflected backward stochastic differential equations

DOI10.1016/J.SPA.2006.12.008MaRDI QIDQ2642033zbMATHOpenAlexFDO

Authors Juan Li, Shanjian Tang

Publication date 20 August 2007

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0701021

zbMATH Keywords

comparison theoremsreflected backward stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Abstract: A local strict comparison theorem and some converse comparison theorems are proved for reflected backward stochastic differential equations under suitable conditions.

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Cites work

• scientific article; zbMATH DE number 1069627 (Why is no real title available?)
• scientific article; zbMATH DE number 1066320 (Why is no real title available?)
• scientific article; zbMATH DE number 1066321 (Why is no real title available?)
• 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
• Backward Stochastic Differential Equations in Finance
• Filtration-consistent nonlinear expectations and related \(g\)-expectations
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• Some results on the uniqueness of generators of backward stochastic differential equations

Cited in

(9)

• Multi-dimensional backward stochastic differential equations with one reflecting lower barrier of Itô diffusion type
• Reflected forward-backward stochastic differential equations and related PDEs
• Converse comparison theorems for multidimensional anticipated backward stochastic differential equations
• Converse comparison theorems for reflected BSDEs with double obstacles
• On comparison theorem for optional SDEs via local times and applications
• The comparison theorem for solutions of forward-backward stochastic differential equations
• Converse comparison problems for reflected backward stochastic differential equations. I
• Strict comparison theorems under sublinear expectations
• Reflected backward stochastic differential equations with two barriers and Dynkin games under Knightian uncertainty

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