On the comparison theorem for multidimensional BSDEs

Ying Hu (1) , Shige Peng (2)

1 IRMAR - Institut de Recherche Mathématique de Rennes
2 INSTITUTE OF MATHEMATICS - Shandong Universtity

In this Note, we give a necessary and sufficient condition under which the comparison theorem holds for multidimensional backward stochastic differential equations (BSDEs) and for matrix-valued BSDEs.

Domaines: Probabilités [math.PR]

Ying Hu, Shige Peng. On the comparison theorem for multidimensional BSDEs. Comptes Rendus. Mathématique, 2006, 343 (2), pp.135-140. ⟨10.1016/j.crma.2006.05.019⟩. ⟨hal-00451661⟩