A New Comparison Theorem of Multidimensional BSDEs

作者：Wu Pan yu^*; Chen Zeng jing

来源：Acta Mathematicae Applicatae Sinica-English Series, 2015, 31(1): 131-138.

DOI：10.1007/s10255-012-0155-5

• backward stochastic differential equation
• comparison theorem
• viability property

In this paper, we first study a property about the generator g of Backward Stochastic Differential Equation (BSDE) when the price of contingent claims can be represented by a multidimensional BSDE in the no-arbitrage financial market. Furthermore, motivated by the behavior of agents in finance market, we introduce a new total order greater than or similar to(q) on R-n and obtain a necessary and sufficient condition for comparison theorem of multidimensional BSDEs under this order. We also give some further results for greater than or similar to(q).

• 出版日期2015
• 单位山东大学