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

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

2010-06-08

arxiv.org/abs/1006.1453v1

Mathematics

Probability

29 pages

Scientific paper

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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