Article2006

On the comparison theorem for multidimensional BSDEs

67 citations0/0 files storedComptes Rendus Mathématique

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Stochastic processes and financial applications Nonlinear Differential Equations Analysis Fuzzy Systems and Optimization

Abstract

In this Note, we give a necessary and sufficient condition under which the comparison theorem holds for multidimensional backward stochastic differential equations (BSDEs) and for matrix-valued BSDEs.

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References

1997Backward Stochastic Differential Equations in Finance 2005Backward stochastic differential equations and quasilinear parabolic partial differential equations 1992A Generalized dynamic programming principle and hamilton-jacobi-bellman equation 2000A Converse Comparison Theorem for BSDEs and Related Properties of g-Expectation 1992Stochastic Partial Differential Equations and Their Applications 2000Viability property for a backward stochastic differential equation and applications to partial differential equations

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2017Backward Stochastic Differential Equations 2015Multidimensional quadratic and subquadratic BSDEs with special structure 2013Mean-field backward stochastic Volterra integral equations 2017Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience 2014Comparison theorems for some backward stochastic Volterra integral equations 2017Dynamic approaches for some time-inconsistent optimization problems 2010A general comparison theorem for backward stochastic differential equations

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