2 00 6 Local Strict Comparison Theorem and Converse Comparison Theorems for Reflected Backward Stochastic Differential Equations ∗
نویسنده
چکیده
A local strict comparison theorem and some converse comparison theorems are proved for reflected backward stochastic differential equations under suitable conditions. AMS 2000 Subject Classification: 60H10, 60H30
منابع مشابه
Random differential inequalities and comparison principles for nonlinear hybrid random differential equations
In this paper, some basic results concerning strict, nonstrict inequalities, local existence theorem and differential inequalities have been proved for an IVP of first order hybrid random differential equations with the linear perturbation of second type. A comparison theorem is proved and applied to prove the uniqueness of random solution for the considered perturbed random differential eq...
متن کاملA comparison theorem for backward SPDEs with jumps
There are several papers dealing with comparison theorems for backward stochastic partial differential equations (BSPDEs). One of the first seems to be the paper [MY]. The results of that paper were subsequently extended (still for linear BSPDEs only) in the paper [DM]. Other related papers are [DQT] and also our own paper [ØSZ] (for reflected BSPDE). The paper which seems to be closest to ours...
متن کاملReflected Solutions of Backward Doubly Stochastic Differential Equations ∗
We study reflected solutions of one-dimensional backward doubly stochastic differential equations (BDSDEs in short). The “reflected” keeps the solution above a given stochastic process. We get the uniqueness and existence by penalization. For the existence of backward stochastic integral, our proof is different from [KKPPQ] slightly. We also obtain a comparison theorem for reflected BDSDEs. At ...
متن کاملStability of two classes of improved backward Euler methods for stochastic delay differential equations of neutral type
This paper examines stability analysis of two classes of improved backward Euler methods, namely split-step $(theta, lambda)$-backward Euler (SSBE) and semi-implicit $(theta,lambda)$-Euler (SIE) methods, for nonlinear neutral stochastic delay differential equations (NSDDEs). It is proved that the SSBE method with $theta, lambdain(0,1]$ can recover the exponential mean-square stability with some...
متن کاملReflected Backward Stochastic Differential Equations Driven by Countable Brownian Motions
In this note, we study one-dimensional reflected backward stochastic differential equations (RBSDEs) driven by Countable Brownian Motions with one continuous barrier and continuous generators. Via a comparison theorem, we provide the existence of minimal and maximal solutions to this kind of equations.
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
دوره شماره
صفحات -
تاریخ انتشار 2006