A converse comparison theorem for backward stochastic differential equations with jumps
Probability
2011-05-25 v2
Abstract
This paper establishes a converse comparison theorem for real-valued decoupled forward backward stochastic differential equations with jumps.
Keywords
Cite
@article{arxiv.1010.6170,
title = {A converse comparison theorem for backward stochastic differential equations with jumps},
author = {Xavier De Scheemaekere},
journal= {arXiv preprint arXiv:1010.6170},
year = {2011}
}
Comments
The former version contains an error in the proof of the main theorem. This version presents a similar result, but for a more restricted class of equations, so that the error is now fixed