多维倒向随机微分方程比较定理精确表示.pdfVIP

Explicit Expressions for the Comparison Theorems of Multidimensional BSDEs XU Yu-hong ∗ (Department of Mathematics, China University of Mining and Technology Xuzhou, 221008, P.R.China) Abstract: In this Note, we give explicit expressions for the comparison theorem of multi- dimensional backward stochastic differential equations (BSDEs in short) and for the viability property on a rectangle. Key words: Backward stochastic differential equation; comparison theorem; backward stochastic viability property 1 Introduction Starting from the point of backward stochastic viability property (BSVP) in [1], Hu and Peng [2] gives a necessary and sufficient condition under which the comparison theorem holds for multidimensional BSDEs, but it is not so easy to understand the relation between generators as the comparison theorem for one dimensional BSDEs in [3] and [4]. The objective of this Note is to give more explicit expressions for the necessary and sufficient condition of the multidimensional comparison theorem and for viability property on a rectangle. Especially, explicit expressions for necessary and sufficient condition for non-negative solutions and non-positive solutions are thus obtained. Next section recalls some results established in [1] and [2]; section 3 gives an explicit ex- pression for multidimensional comparison theorem; in section 4, explicit expressions for viability property on a rectangle are given. 2 Viability in K and comparison in Rn Let (B ) be a standard d-dimensional Brownian motion on the probability space t t∈[0,T] (Ω, F , P ) and (F ) is the augmented Br