Necessary and sufficient condition for comparison theorem of 1-dimensional stochastic differential equations

Shige Peng and Xuehong Zhu

Stochastic Processes and their Applications, 2006, vol. 116, issue 3, 370-380

Abstract: In this paper, we present a new approach to obtain the comparison theorem of two 1-dimensional SDEs with diffusion and jumps. The two equations is treated as one two-dimensional SDE and the comparison requirement is regarded as to keep the solution within the constraint . We then apply a new criteria of "viability condition" which is a necessary and sufficient condition to keep the solution to be inside the constraint K.

Keywords: Comparison; theorem; of; SDE; Viability; Viscosity; solutions (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (34)

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