A converse comparison theorem for backward stochastic differential equations with jumps

DOI10.1016/j.spl.2010.10.016zbMath1220.60032arXiv1010.6170OpenAlexW2070495731MaRDI QIDQ625023

Xavier De Scheemaekere

Publication date: 11 February 2011

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

Full work available at URL: https://arxiv.org/abs/1010.6170

zbMATH Keywords

comparison theorembackward stochastic differential equation with jumpsconverse comparison theorem

Mathematics Subject Classification ID

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

Cites Work

• Adapted solution of a backward stochastic differential equation
• Backward stochastic differential equations with jumps and related nonlinear expectations
• A converse comparison theorem for BSDEs and related properties of \(g\)-expectation
• Some results on the uniqueness of generators of backward stochastic differential equations
• Converse comparison theorems for backward stochastic differential equations
• A general converse comparison theorem for backward stochastic differential equations
• Stochastic Hamilton–Jacobi–Bellman Equations
• A property of backward stochastic differential equations
• Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
• Backward Stochastic Differential Equations in Finance