A general comparison theorem for backward stochastic differential equations
Samuel N. Cohen, Robert J. Elliott, and Charles E. M. Pearce
Source: Adv. in Appl. Probab. Volume 42, Number 3
(2010), 878-898.
Abstract
A 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.
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Permanent link to this document: http://projecteuclid.org/euclid.aap/1282924067
Digital Object Identifier: doi:10.1239/aap/1282924067
Zentralblatt MATH identifier: 05820052
Mathematical Reviews number (MathSciNet): MR2779563
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