Comparison theorem for solutions of backward stochastic differential equations with continuous coefficient

Jicheng Liu and Jiagang Ren

Statistics & Probability Letters, 2002, vol. 56, issue 1, 93-100

Abstract: Comparison theorems for solutions of one-dimensional backward stochastic differential equations were established by Peng and Cao-Yan, where the coefficients were, respectively, required to be Lipschitz and Dini continuous. In this work, we generalize the comparison theorem to the case where the coefficient is only continuous.

Keywords: Backward; stochastic; differential; equations; Comparison; theorem; Grownwall's; lemma; Equi-continuous (search for similar items in EconPapers)
Date: 2002
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