A new proof for comparison theorems for stochastic differential inequalities with respect to semimartingales

DOI10.1016/S0304-4149(98)00051-9zbMath0934.60053MaRDI QIDQ1807276

Xiaodong Ding, Rangquan Wu

Publication date: 18 November 1999

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

comparison theoremsemimartingalesstochastic differential inequality

Mathematics Subject Classification ID

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

Related Items (14)

Approximate option pricing and hedging in the CEV model via path-wise comparison of stochastic processes ⋮ General time interval multidimensional BSDEs with generators satisfying a weak stochastic-monotonicity condition ⋮ Singular recursive utility ⋮ The Upper and Lower Solutions Method for Stochastic Inclusions with Discontinuous Multivalued Mappings ⋮ On stochastic logistic equation with Markovian switching and white noise ⋮ A Necessary condition on comparison theorem for one-dimensional stochastic differential equation ⋮ A COMPARISON THEOREM FOR STOCHASTIC EQUATIONS IN INFINITE DIMENSIONS AND APPLICATIONS ⋮ MULTIDIMENSIONAL DYNAMIC RISK MEASURE VIA CONDITIONAL g‐EXPECTATION ⋮ The Method of Upper and Lower Solutions of Stochastic Differential Equations and Applications ⋮ Emergent collective behaviors of stochastic Kuramoto oscillators ⋮ On connections between stochastic differential inclusions and set-valued stochastic differential equations driven by semimartingales ⋮ Stochastic integrals and stochastic equations in set-valued and fuzzy-valued frameworks ⋮ Uniform ergodicity for Brownian motion in a bounded convex set ⋮ Practical synchronization of Winfree oscillators in a random environment

Cites Work

• Comparison theorems for stochastic differential equations in finite and infinite dimensions
• The behavior of solutions of stochastic differential inequalities
• A generalization of a lemma of bellman and its application to uniqueness problems of differential equations
• One-dimensional stochastic differential equations involving a singular increasing process
• A note on monotone iterative technique for one-dimensional stochastic differential equations
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: A new proof for comparison theorems for stochastic differential inequalities with respect to semimartingales