Comparison theorem for Brownian multidimensional BSDEs via jump processes

DOI10.1016/J.CRMA.2011.03.012MaRDI QIDQ533992zbMATH OpenOpenAlexFDO

Authors Idris Kharroubi

Publication date 10 May 2011

Published in Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.crma.2011.03.012

zbMATH Keywords

backward stochastic differential equationcomparison theoremPoisson random measure

Mathematics Subject Classification ID

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

Review text

This note provides a new comparison theorem for multidimensional BSDEs. Here each line \(k\) of the generator is assumed to depend on the matrix variable \(Z\) only through its row \(k\). In the proof, a random measure is introduced which allows one to use existing results for BSDEs with jumps.

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Cites work

• A Generalized dynamic programming principle and hamilton-jacobi-bellman equation
• Backward stochastic differential equations with jumps and related nonlinear expectations
• On the comparison theorem for multidimensional BSDEs
• Viability property for a backward stochastic differential equation and applications to partial differential equations

Cited in

(5)

• Comparison theorems for multi-dimensional general mean-field BDSDES
• Anticipated backward stochastic differential equations with jumps under the non-Lipschitz condition
• Comparison theorem, Feynman-Kac formula and Girsanov transformation for BSDEs driven by \(G\)-Brownian motion
• scientific article; zbMATH DE number 6501133 (Why is no real title available?)
• The comparison theorem for multidimensional BSDEs with jumps

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