Journal of Inequalities and Applications (Oct 2021)
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.
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