A comparison theorem for backward SPDEs with jumps
Probability
2014-02-19 v1
Abstract
In this paper we obtain a comparison theorem for backward stochastic partial differential equation (SPDEs) with jumps. We apply it to introduce space-dependent convex risk measures as a model for risk in large systems of interacting components.
Keywords
Cite
@article{arxiv.1402.4244,
title = {A comparison theorem for backward SPDEs with jumps},
author = {Bernt Øksendal and Agnès Sulem and Tusheng Zhang},
journal= {arXiv preprint arXiv:1402.4244},
year = {2014}
}