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May 2009 Anticipated backward stochastic differential equations
Shige Peng, Zhe Yang
Ann. Probab. 37(3): 877-902 (May 2009). DOI: 10.1214/08-AOP423

Abstract

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.

Citation

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Shige Peng. Zhe Yang. "Anticipated backward stochastic differential equations." Ann. Probab. 37 (3) 877 - 902, May 2009. https://doi.org/10.1214/08-AOP423

Information

Published: May 2009
First available in Project Euclid: 19 June 2009

zbMATH: 1186.60053
MathSciNet: MR2537524
Digital Object Identifier: 10.1214/08-AOP423

Subjects:
Primary: 60H10, 60H20, 93E03

Rights: Copyright © 2009 Institute of Mathematical Statistics

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Vol.37 • No. 3 • May 2009
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