Two comparison theorems of BSDEs

DOI10.1007/BF02832326MaRDI QIDQ2454992zbMATH OpenOpenAlexFDO

Authors Xiaoqin Huang, Junguo Jia, Mian-sen Wang

Publication date 22 October 2007

Published in Journal of Applied Mathematics and Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf02832326

zbMATH Keywords

backward stochastic differential equationcomparison theorem

Mathematics Subject Classification ID

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

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Cites work

• A comparison theorem for solutions of backward stochastic differential equations.
• A Generalized dynamic programming principle and hamilton-jacobi-bellman equation
• A numerical scheme to solve nonlinear BSDEs with Lipschitz and non-Lipschitz coefficients
• Adapted solution of a backward stochastic differential equation
• Adapted solutions of backward stochastic differential equations with non- Lipschitz coefficients
• Backward stochastic differential equations with continuous coefficient
• Comparison theorem for solutions of backward stochastic differential equations with continuous coefficient
• Indefinite stochastic optimal LQR control with cross term under IQ constraints.

Cited in

(9)

• A converse comparison theorem for BSDEs and related properties of \(g\)-expectation
• The comparison theorem of FBSDE
• Comparison theorem for diagonally quadratic BSDEs
• Continuous dependence properties on solutions of backward stochastic differential equation
• A general converse comparison theorem for backward stochastic differential equations
• A comparison theorem for solutions of backward stochastic differential equations.
• Comparison theorem for solution Z of BSDEs
• A comparison theorem for stochastic differential equations under the Novikov condition
• Comparison theorem for Brownian multidimensional BSDEs via jump processes

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