Backward stochastic viability property with jumps and applications to the comparison theorem for multidimensional BSDEs with jumps
Probability
2010-06-09 v1
Abstract
In this paper, we study conditions under which the solutions of a backward stochastic differential equation with jump remains in a given set of constrains. This property is the so-called "viability property". As an application, we study the comparison theorem for multidimensional BSDEs with jumps.
Keywords
Cite
@article{arxiv.1006.1453,
title = {Backward stochastic viability property with jumps and applications to the comparison theorem for multidimensional BSDEs with jumps},
author = {Xuehong Zhu},
journal= {arXiv preprint arXiv:1006.1453},
year = {2010}
}
Comments
29 pages