Converse comparison theorems for reflected BSDEs with double obstacles

MaRDI QIDQ3611037zbMATH OpenFDO

Authors Sheng-Wu Zhou, Feng Xu, Shiqiu Zheng

Publication date 6 March 2009

zbMATH Keywords

generatorcomparison theoremreflected backward stochastic differential equationconverse comparison theorem

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05)

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Cited in

(7)

• A representation theorem and a converse comparison theorem of RBSDEs with continuous coefficients
• A representation theorem for generators of reflected backward stochastic differential equations with double obstacles and its applications
• The smallest \(g\)-supermartingale and reflected BSDE with single and double \(L^2\) obstacles
• Converse comparison problems for reflected backward stochastic differential equations. I
• A general comparison theorem for reflected BSDEs
• 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

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