A converse comparison theorem for backward stochastic differential equations with jumps
type: Item
instance of: scholarly article
title: A converse comparison theorem for backward stochastic differential equations with jumps
zbMATH Open document ID: 1220.60032
author: Xavier De Scheemaekere
published in: Statistics \& Probability Letters
publication date: 2011-02-11T00:00:00Z
full work available at URL: https://arxiv.org/abs/1010.6170
review text: Let \[ Y_t= \xi_T+ \int^T_t f(s,Y_s, Z_s, U_s)\,ds- \int^T_t Z_s dW_s- \int^T_t \int_B U_s(x) \widetilde\mu(ds, ds),\;0\leq t\leq T\tag{1} \] be backward stochastic differential equation with jumps. The author proves the converse comparison theorem for (1). Under certain assumptions, he shows that if for any \(r\), \(v\), \(0\leq r< v\leq T\) there exists a terminal condition \(\xi\), such that \[ \begin{aligned} Y_r(f_1,\xi_v)\leq Y_r(f_2, \xi_v)\quad & P\text{-a.s.}\qquad\text{then}\\ f_1(t,y,z,u)\leq f_2(t, y,z,u)\quad & P\text{-a.s.}.\end{aligned} \]
reviewed by: Maria Stolarczyk
Mathematics Subject Classification ID: 60H10
zbMATH DE Number: 5850256
zbMATH Keywords: backward stochastic differential equation with jumps
zbMATH Keywords: comparison theorem
zbMATH Keywords: converse comparison theorem
MaRDI profile type: MaRDI publication profile
OpenAlex ID: W2070495731
arXiv ID: 1010.6170
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DOI: 10.1016/J.SPL.2010.10.016
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description: scientific article