Comparison theorem for Brownian multidimensional BSDEs via jump processes

Idris Kharroubi (1, 2)

1 CREST - Centre de Recherche en Économie et Statistique
2 CEREMADE - CEntre de REcherches en MAthématiques de la DEcision

In this Note, we provide an original proof of the comparison theorem for multidimensional Brownian BSDEs in the case where at each line k the generator depends on the matrix variable Z only through its row k.

Mots clés: Multidimensional backward SDE; random measure; backward SDE with jumps; comparison theorem

Domaines: Probabilités [math.PR]

Idris Kharroubi. Comparison theorem for Brownian multidimensional BSDEs via jump processes. Comptes rendus de l'Académie des sciences. Série I, Mathématique, 2011, 349 (7-8), pp.463-468. ⟨10.1016/j.crma.2011.03.012⟩. ⟨hal-00630251⟩