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

Statistics and Probability Letters

Volumn 56, Issue 1, 2002, Pages 93-100

  Liu, Jicheng ^a   Ren, Jiagang ^a  

^a HUAZHONG UNIVERSITY OF SCIENCE AND TECHNOLOGY   (China)

Author keywords

Backward stochastic differential equations; Comparison theorem; Equi continuous; Grownwall's lemma

Indexed keywords

EID: 0036161025     PISSN: 01677152     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0167-7152(01)00178-X     Document Type: Article

References (10)

1. A converse comparison theorem for BSDEs and related properties of g-expectation
2. A comparison theorem for solutions of stochastic differential equations
3. Backward stochastic differential equations and partial differential equations with quadratic growth
4. Backward stochastic differential equations with continuous coefficient
5. Adapted solutions of backward stochastic differential equations with non-Lipschitz coefficients
6. Adapted solution of a backward stochastic differential equation
7. A generalized dynamic programming principle and Hamilton-Jacobi-Bellman equations
8. Backward stochastic differential equation and its application in optimal control
9. Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob-Meyer's type
10. On solutions of backward stochastic differential equations with jumps and applications