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arXiv:1006.1453 [math.PR]AbstractReferencesReviewsResources

Backward stochastic viability property with jumps and applications to the comparison theorem for multidimensional BSDEs with jumps

Xuehong Zhu

Published 2010-06-08Version 1

In this paper, we study conditions under which the solutions of a backward stochastic differential equation with jump remains in a given set of constrains. This property is the so-called "viability property". As an application, we study the comparison theorem for multidimensional BSDEs with jumps.

Comments: 29 pages
Categories: math.PR
Subjects: 60H10, 60H30
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