Comparison theorem for solutions of backward stochastic differential equations with continuous coefficient

DOI10.1016/S0167-7152(01)00178-XzbMath1004.60063OpenAlexW2084724340MaRDI QIDQ1612975

Jicheng Liu, Jiangang Ren

Publication date: 5 September 2002

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-7152(01)00178-x

zbMATH Keywords

comparison theorembackward stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44)

Related Items (10)

Homeomorphism of solutions to backward SDEs and applications ⋮ Existence of solutions to one-dimensional BSDEs with semi-linear growth and general growth generators ⋮ One-dimensional BSDEs with left-continuous, lower semi-continuous and linear-growth generators ⋮ Anticipated backward stochastic differential equations with non-Lipschitz coefficients ⋮ Two comparison theorems of BSDEs ⋮ The adapted solution and comparison theorem for backward stochastic differential equations with Poisson jumps and applications ⋮ BSDEs driven by \(G\)-Brownian motion with non-Lipschitz coefficients ⋮ Monotonic limit properties for solutions of BSDEs with continuous coefficients ⋮ Anticipated backward stochastic differential equations ⋮ L^psolutions of anticipated backward stochastic differential equations under monotonicity and general increasing conditions

Cites Work

• Adapted solution of a backward stochastic differential equation
• Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob-Meyer's type
• Backward stochastic differential equations with continuous coefficient
• On solutions of backward stochastic differential equations with jumps and applications
• A converse comparison theorem for BSDEs and related properties of \(g\)-expectation
• Backward stochastic differential equations and partial differential equations with quadratic growth.
• Adapted solutions of backward stochastic differential equations with non- Lipschitz coefficients
• Backward stochastic differential equations and applications to optimal control
• A Generalized dynamic programming principle and hamilton-jacobi-bellman equation
• Unnamed Item

This page was built for publication: Comparison theorem for solutions of backward stochastic differential equations with continuous coefficient