Necessary and sufficient condition for comparison theorem of 1-dimensional stochastic differential equations

In this paper, we present a new approach to obtain the comparison theorem of two 1-dimensional SDEs with diffusion and jumps. The two equations is treated as one two-dimensional SDE and the comparison requirement is regarded as to keep the solution within the constraint . We then apply a new criteria of "viability condition" which is a necessary and sufficient condition to keep the solution to be inside the constraint K.

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Year of publication:	2006
Authors:	Peng, Shige ; Zhu, Xuehong
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 116.2006, 3, p. 370-380
Publisher:	Elsevier
Keywords:	Comparison theorem of SDE Viability Viscosity solutions

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

Persistent link: https://www.econbiz.de/10008873652