On the comparison theorem for multidimensional BSDEs
By Ying Hu, Shige Peng. 2006
85 citations recorded by the source corpus.
Subfields: Finance, Mathematical Physics
View Paper: https://www.semanticscholar.org/paper/1e6ec7e3e95d1a8c4a539f09d0310d969593eeb9
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Finance
- Jianfeng Zhang
- Shige Peng
- Marcel Nutz
- Nizar Touzi
- Said Hamadène
- Gordan vZitkovi'c
- Hao Xing
- Yongsheng Song
In Mathematical Physics
- Jianfeng Zhang
- Shige Peng
- Said Hamadène
- Li-Xin Zhang
- Yongsheng Song
- Marcel Nutz
- Mingshang Hu
- E. Essaky
Citations in the corpus
- Necessary and sufficient condition for comparison theorem of 1-dimensional stochastic differential equations (2006, background): “This approach can also be applied to multi-dimensional situation (see [6]).”
- Switching problem and related system of reflected backward SDEs (2010, methodology): “We note that one can also use the comparison theorem for high-dimensional BSDEs, see [25], to prove the monotonicity of Y n, j .”
- 7 – Backward Stochastic Differential Equations (2011, unknown): “In 2006, Hu and Peng [47] published a short article about the necessary and sufficient conditions for the existence of the multidimensional comparison theorem.”
- A class of globally solvable Markovian quadratic BSDE systems and applications (2016, background): “Partial-regularity and hole-filling techniques can be seen as a replacement for order-based arguments involving, for instance, the maximum principle (comparison principle) or the related notion of a viscosity solution; such methods, unfortunately, fail miserably in the multidimensional case (see [36”