Stochastic Gronwall's inequality in random time horizon and its application to BSDE

2019/03/23 by O, Hun, Kim, Mun-Chol, Pak, Chol-Gyu · 1 citation
#39A50 60H05 #FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.1903.09902

Abstract

In this paper, we introduce and prove a stochastic Gronwall's inequality in (unbounded) random time horizon. As an application, we prove a comparison theorem for backward stochastic differential equation (BSDE for short) with random terminal time under stochastic monotonicity condition.

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• A Discretization Scheme for BSDEs with Random Time Horizon

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