Necessary and sufficient condition for the comparison theorem of multidimensional anticipated backward stochastic differential equations (Q547354)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Necessary and sufficient condition for the comparison theorem of multidimensional anticipated backward stochastic differential equations |
scientific article |
Statements
Necessary and sufficient condition for the comparison theorem of multidimensional anticipated backward stochastic differential equations (English)
0 references
1 July 2011
0 references
A necessary and sufficient condition is given under which the comparison theorem holds for multidimensional anticipated backward stochastic differential equations (ABSDEs). The main results are given in Theorem 3.1, Theorem 3.2 and Theorem 3.3. Their results extend some similar results for multidimensional backward stochastic equations given by \textit{Y. Hu} and \textit{S. Peng} [C. R., Math., Acad. Sci. Paris 343, No.~2, 135--140 (2006; Zbl 1098.60052)] or \textit{R. Buckdahn, M. Quincampoix} and \textit{A. Răşcanu} [Probab. Theory Relat. Fields 116, No.~4, 485--504 (2000; Zbl 0969.60061)] and for the case of 1-dimensional ABSDEs given by \textit{X. Xu} [Sci. China, Math. 54, No.~2, 301--310 (2011; Zbl 1235.60071)].
0 references
backward stochastic differential equations
0 references
multidimensional anticipated backward stochastic differential equations
0 references
comparison theorem
0 references
necessary and sufficient condition
0 references
0 references