A class of backward stochastic Bellman–Bihari’s inequality and its applications

Abstract

Abstract In this paper, we propose and prove several different forms of backward stochastic Bellman–Bihari’s inequality. Then, as two applications, two different types of the comparison theorems for backward stochastic differential equation with stochastic non-Lipschitz condition are presented.

Keywords

• Bellman–Bihari’s inequality
• Stochastic
• Generalization
• BSDEs