On the comparison theorem for multidimensional BSDEs

DOI10.1016/j.crma.2006.05.019zbMath1098.60052OpenAlexW2013069895MaRDI QIDQ2499743

Shige Peng, Ying Hu

Publication date: 14 August 2006

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.crma.2006.05.019

Mathematics Subject Classification ID

Stochastic integral equations (60H20)

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Cites Work

• Unnamed Item
• Viability property for a backward stochastic differential equation and applications to partial differential equations
• A converse comparison theorem for BSDEs and related properties of \(g\)-expectation
• A general converse comparison theorem for backward stochastic differential equations
• A Generalized dynamic programming principle and hamilton-jacobi-bellman equation
• Backward Stochastic Differential Equations in Finance