2 papers
math.PR2019
Stochastic Gronwall's inequality in random time horizon and its application to BSDE
Hun O, Mun-Chol Kim, Chol-Gyu Pak
In this paper, we introduce and prove a stochastic Gronwall's inequality in (unbounded) random time horizon. As an application, we prove a comparison theorem for backward stochasti…
math.PR2018
A Framework of BSDEs with Stochastic Lipschtz Coefficients through Time Change
Hun O, Mun-chol Kim, Chol-kyu Pak
In this paper, we suggest a useful technique based on time change to be effective for dealing with the backward stochastic differential equations. We show the relation between the…