Comparison theorem for solutions of backward stochastic differential equations with continuous coefficient
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.
Year of publication: |
2002
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Authors: | Liu, Jicheng ; Ren, Jiagang |
Published in: |
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 56.2002, 1, p. 93-100
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Publisher: |
Elsevier |
Keywords: | Backward stochastic differential equations Comparison theorem Grownwall's lemma Equi-continuous |
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