A general comparison theorem for backward stochastic differential equations

DOI10.1239/aap/1282924067zbMath1221.60079MaRDI QIDQ3059700

Robert J. Elliott, Charles E. M. Pearce, Samuel N. Cohen

Publication date: 26 November 2010

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/aap/1282924067

zbMATH Keywords

comparison theorem; dynamic risk measure; nonlinear expectation; BSDE

Mathematics Subject Classification ID

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

93E20: Optimal stochastic control

Related Items

Ong−evaluations with domains under jump filtration, Anticipated BSDEs driven by a single jump process, Undiscounted Markov Chain BSDEs to Stopping Times, Anticipated backward stochastic differential equations on Markov chains, Existence, uniqueness and comparisons for BSDEs in general spaces, Approximate option pricing and hedging in the CEV model via path-wise comparison of stochastic processes, Mean-field backward stochastic differential equations in general probability spaces, Existence and uniqueness results for BSDE with jumps: the whole nine yards, Risk-minimizing pricing and Esscher transform in a general non-Markovian regime-switching jump-diffusion model, \(\mathbb L^p\) solutions of backward stochastic differential equations with jumps

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