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

DOI10.1016/J.SPA.2006.12.008zbMATH Open1125.60067arXivmath/0701021OpenAlexW2063054846MaRDI QIDQ2642033FDOQ2642033

Authors: Juan Li, Shanjian Tang 

Publication date: 20 August 2007

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

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

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

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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)

Cites Work

• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• Backward Stochastic Differential Equations in Finance
• Adapted solution of a backward stochastic differential equation
• Filtration-consistent nonlinear expectations and related \(g\)-expectations
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• A converse comparison theorem for BSDEs and related properties of \(g\)-expectation
• A property of backward stochastic differential equations
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• Some results on the uniqueness of generators of backward stochastic differential equations
• A general converse comparison theorem for backward stochastic differential equations

Cited In (9)

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

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