A general comparison theorem for backward stochastic differential equations

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dc.contributor.authorCohen, S.
dc.contributor.authorElliott, R.
dc.contributor.authorPearce, C.
dc.date.issued2010
dc.description.abstractA useful result when dealing with backward stochastic differential equations is the comparison theorem of Peng (1992). When the equations are not based on Brownian motion, the comparison theorem no longer holds in general. In this paper we present a condition for a comparison theorem to hold for backward stochastic differential equations based on arbitrary martingales. This theorem applies to both vector and scalar situations. Applications to the theory of nonlinear expectations are also explored.
dc.description.statementofresponsibilitySamuel N. Cohen, Robert J. Elliott, Charles E. M. Pearce
dc.identifier.citationAdvances in Applied Probability, 2010; 42(3):878-898
dc.identifier.doi10.1239/aap/1282924067
dc.identifier.issn0001-8678
dc.identifier.issn1475-6064
dc.identifier.urihttp://hdl.handle.net/2440/62836
dc.language.isoen
dc.publisherApplied Probability Trust
dc.relation.grantARC
dc.rights© Applied Probability Trust 2010
dc.source.urihttps://doi.org/10.1239/aap/1282924067
dc.subjectBSDE
dc.subjectcomparison theorem
dc.subjectnonlinear expectation
dc.subjectdynamic risk measure
dc.titleA general comparison theorem for backward stochastic differential equations
dc.typeJournal article
pubs.publication-statusPublished

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