Comparison theorem for diagonally quadratic BSDEs

Peng Luo

doi:10.3934/dcds.2020374

Article Contents

2021, Volume 41, Issue 6: 2543-2557. Doi: 10.3934/dcds.2020374

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Comparison theorem for diagonally quadratic BSDEs

Peng Luo

School of Mathematical Sciences, Shanghai Jiao Tong University, Shanghai 200240, China

Received: May 2019

Revised: September 2020

Early access: November 2020

Published: June 2021

Financial support from the Natural Sciences and Engineering Research Council of Canada, Grant RGPIN- 2017-04054.

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Abstract

The present work is devoted to study comparison and converse comparison theorems for diagonally quadratic BSDEs. We give sufficient and necessary conditions under which the comparison holds. Sufficient and necessary conditions for non-positive and non-negative solutions are presented.

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Mathematics Subject Classification: 60H10, 60H30.

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