Comparison theorem for solutions of backward stochastic differential equations with continuous coefficient. (English) Zbl 1004.60063

Liu, Jicheng; Ren, Jiagang

Stat. Probab. Lett. 56, No. 1, 93-100 (2002).

J. P. Lepeltier and J. San Martin proved [Stat. Probab. Lett. 32, No. 4, 425-430 (1997; Zbl 0904.60042)] the existence of a minimal solution for one-dimensional backward stochastic differential equations, where the coefficient is continuous and has linear growth, and it is easy to see that there is also a maximal solution. The authors prove here a comparison theorem for BSDE’s in this case for the minimal (resp. the maximal) solutions.

Reviewer: Catherine Rainer (Brest)

MSC:

60H10	Stochastic ordinary differential equations (aspects of stochastic analysis)
60G44	Martingales with continuous parameter

Keywords:

backward stochastic differential equations; comparison theorem

Citations:

Zbl 0904.60042

References:

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