A stochastic Gronwall inequality in random time horizon and its application to BSDE

Author:

O Hun,Kim Mun-Chol,Pak Chol-KyuORCID

Abstract

AbstractIn this paper, we introduce and prove a stochastic Gronwall inequality in an (unbounded) random time horizon. As an application, we prove a comparison theorem for backward stochastic differential equation (BSDE for short) with random terminal time under a stochastic monotonicity condition.

Publisher

Springer Science and Business Media LLC

Subject

Applied Mathematics,Discrete Mathematics and Combinatorics,Analysis

Reference20 articles.

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4. Bender, C., Kohlmann, M.: BSDEs with stochastic Lipschitz condition. Technical report, Center of Finance and Econometrics, University of Konstanz (2000) http://hdl.handle.net/10419/85163

5. Bihari, I.: A generalization of a lemma of Bellman and its application to uniqueness problems of differential equations. Acta Math. Hung. 7, 81–94 (1956)

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