Comparison Theorem for any Solutions of Backward Stochastic Differential Equations and its Application

Abstract:

ƒIn this paper, we study the one-dimensional backward stochastic equations driven by continuous local martingale. We establish a generalized the comparison theorem for any solutions where the coefficient is uniformly Lipschitz continuous in z and is equi-continuous in y.

• Periodical: Advanced Materials Research (Volumes 524-527)
• Pages: 3801-3804
• DOI: https://doi.org/10.4028/www.scientific.net/AMR.524-527.3801
• Online since: May 2012
• Authors: Shi Yu Li, Wu Jun Gao, Jin Hui Wang
• Keywords: Backward Stochastic Differential Equations, Comparison Theorem, Continuous Local Martingale, Predictable Representation Property of Martingale

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