A Comparison Theorem for Stochastic Equations with Integrals with Respect to Martingales and Random Measures

DOI10.1137/1127055zbMath0516.60074OpenAlexW2006995724MaRDI QIDQ3664163

Leonid I. Galtchouk

Publication date: 1982

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/1127055

zbMATH Keywords

comparison theoremsemimartingales

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Random measures (60G57) Stochastic integral equations (60H20)

Related Items (8)

Approximate option pricing and hedging in the CEV model via path-wise comparison of stochastic processes ⋮ On comparison theorem for optional SDEs via local times and applications ⋮ Comparison of semimartingales and Lévy processes ⋮ A comparison theorem for stochastic equations of optional semimartingales ⋮ Well-posedness of a system of SDEs driven by jump random measures ⋮ Theorems of comparison and stability with probability 1 for one-dimensional stochastic differential equations ⋮ Stochastic comparisons of Itô processes ⋮ Comparison theorems for some backward stochastic Volterra integral equations

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