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Comparison theorem for solutions of backward stochastic differential equations with continuous coefficient

  • Liu, Jicheng
  • Ren, Jiagang
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    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.

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    File URL: http://www.sciencedirect.com/science/article/B6V1D-44CXX5G-2/2/55c8a1654bc8c415a05875dddafd9f13
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    Article provided by Elsevier in its journal Statistics & Probability Letters.

    Volume (Year): 56 (2002)
    Issue (Month): 1 (January)
    Pages: 93-100

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    Handle: RePEc:eee:stapro:v:56:y:2002:i:1:p:93-100
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    1. Mao, Xuerong, 1995. "Adapted solutions of backward stochastic differential equations with non-Lipschitz coefficients," Stochastic Processes and their Applications, Elsevier, vol. 58(2), pages 281-292, August.
    2. Lepeltier, J. P. & San Martin, J., 1997. "Backward stochastic differential equations with continuous coefficient," Statistics & Probability Letters, Elsevier, vol. 32(4), pages 425-430, April.
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