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Comparison theorem for Brownian multidimensional BSDEs via jump processes

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Date
2011
Link to item file
http://hal.archives-ouvertes.fr/hal-00630251/fr/
Dewey
Probabilités et mathématiques appliquées
Sujet
Multidimensional backward SDE; random measure; backward SDE with jumps; comparison theorem
Journal issue
Comptes Rendus de l'Académie des Sciences. Série 1, Mathématique
Volume
349
Number
7-8
Publication date
2011
Article pages
463-468
Publisher
Elsevier
DOI
http://dx.doi.org/10.1016/j.crma.2011.03.012
URI
https://basepub.dauphine.fr/handle/123456789/7258
Collections
  • CEREMADE : Publications
Metadata
Show full item record
Author
Kharroubi, Idris
Type
Article accepté pour publication ou publié
Abstract (EN)
In this Note, we provide an original proof of the comparison theorem for multidimensional Brownian BSDEs in the case where at each line k the generator depends on the matrix variable Z only through its row k.

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