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

2010/06/08 by Xuehong Zhu, Zhu, Xuehong
Decision Sciences · Economics, Econometrics and Finance · #60H10 #60H30 #Capital Investment and Risk Analysis #FOS: Mathematics #Probability (math.PR) #Risk and Portfolio Optimization #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.1006.1453

openalex publication_date 2010/06/08 · openalex created_date 2016/06/24 · openalex updated_date 2026/07/28

Abstract

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.

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