The Annals of Probability
- Ann. Probab.
- Volume 37, Number 3 (2009), 877-902.
Anticipated backward stochastic differential equations
In this paper we discuss new types of differential equations which we call anticipated backward stochastic differential equations (anticipated BSDEs). In these equations the generator includes not only the values of solutions of the present but also the future. We show that these anticipated BSDEs have unique solutions, a comparison theorem for their solutions, and a duality between them and stochastic differential delay equations.
Ann. Probab., Volume 37, Number 3 (2009), 877-902.
First available in Project Euclid: 19 June 2009
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Peng, Shige; Yang, Zhe. Anticipated backward stochastic differential equations. Ann. Probab. 37 (2009), no. 3, 877--902. doi:10.1214/08-AOP423. https://projecteuclid.org/euclid.aop/1245434023