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

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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Year of publication:	2002
Authors:	Liu, Jicheng ; Ren, Jiagang
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 56.2002, 1, p. 93-100
Publisher:	Elsevier
Keywords:	Backward stochastic differential equations Comparison theorem Grownwall's lemma Equi-continuous

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005137827