Stochastic monotonicity and order-preservation for a type of nonlinear semigroups
In this paper, we construct a family of nonlinear operators by decoupled FBSDEs and prove that it forms a nonlinear semigroup under a binary operation. Moreover, we obtain the equivalent conditions of the monotonicity and order-preservation of semigroups.
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Volume (Year): 83 (2013)
Issue (Month): 1 ()
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- Geiß, Christel & Manthey, Ralf, 1994. "Comparison theorems for stochastic differential equations in finite and infinite dimensions," Stochastic Processes and their Applications, Elsevier, vol. 53(1), pages 23-35, September.
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