Some Properties of Density Functions on Maxima of Solutions to One-Dimensional Stochastic Differential Equations

2019 ◽  
Vol 32 (4) ◽  
pp. 1746-1779
Author(s):  
Tomonori Nakatsu
2012 ◽  
Vol 524-527 ◽  
pp. 3801-3804
Author(s):  
Shi Yu Li ◽  
Wu Jun Gao ◽  
Jin Hui Wang

ƒIn this paper, we study the one-dimensional backward stochastic equations driven by continuous local martingale. We establish a generalized the comparison theorem for any solutions where the coefficient is uniformly Lipschitz continuous in z and is equi-continuous in y.


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