A local strict comparison theorem and converse comparison theorems for reflected backward stochastic differential equations (Q2642033)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A local strict comparison theorem and converse comparison theorems for reflected backward stochastic differential equations |
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A local strict comparison theorem and converse comparison theorems for reflected backward stochastic differential equations (English)
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20 August 2007
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Comparison theorems allow to compare the solutions of two stochastic differential equations (SDEs) in terms of their terminal conditions and their generators. The authors prove a local strict comparison theorem and some converse comparison theorems for reflected backward SDEs under suitable conditions which reveal some monotonicity relation between the solution, the generator and obstacles.
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reflected backward stochastic differential equations
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comparison theorems
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