A comparison theorem for backward SPDEs with jumps

2014/02/18 by Bernt Øksendal, Øksendal, Bernt, Agnès Sulem +3
Economics, Econometrics and Finance · #35R60 #60H15 #93E20 #FOS: Mathematics #Probability (math.PR) #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.1402.4244

openalex publication_date 2014/02/18 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

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.

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