Bernt Øksendal, Agnès Sulem, Tusheng Zhang
Published 2014-02-18Version 1
In this paper we obtain a comparison theorem for backward stochastic partial differential equation (SPDEs) with jumps. We apply it to introduce space-dependent convex risk measures as a model for risk in large systems of interacting components.
Comparison theorems for mean-field BSDEs whose generators depend on the law of the solution $(Y,Z)$
Stochastic viability and comparison theorems for mixed stochastic differential equations
On almost surely periodic and almost periodic solutions of backward SPDEs
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