This article is cited in 11 papers

A comparison theorem for stochastic equations with integrals on martingales and random measures

L. I. Gal'čuk

Moscow

Abstract: We prove a comparison theorem for the solutions of general stochastic integral equations containing integrals on semimartingale's components. The equations with integrals on the Wiener process and the Poisson random measure are particular cases of the considered equations. It is proved that if the drift coefficient and the jump function for one equation are (in some sence) larger then for the other then the solution of the first equation is larger too.

Received: 25.11.1980

 English version: Theory of Probability and its Applications, 1983, 27:3, 450–460

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