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2013 Some properties of generalized anticipated backward stochastic differential equations
Zhe Yang, Robert Elliott
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Electron. Commun. Probab. 18: 1-10 (2013). DOI: 10.1214/ECP.v18-2415

Abstract

In this paper, after recalling the definition of generalized anticipated backward stochastic differential equations (generalized anticipated BSDEs for short) and the existence and uniqueness theorem for their solutions, we show there is a duality between them and stochastic differential delay equations. We then provide a continuous dependence property for their solutions with respect to the parameters and finally establish a comparison result for the solutions of these equations.

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Zhe Yang. Robert Elliott. "Some properties of generalized anticipated backward stochastic differential equations." Electron. Commun. Probab. 18 1 - 10, 2013. https://doi.org/10.1214/ECP.v18-2415

Information

Accepted: 19 July 2013; Published: 2013
First available in Project Euclid: 7 June 2016

zbMATH: 1329.60204
MathSciNet: MR3084574
Digital Object Identifier: 10.1214/ECP.v18-2415

Subjects:
Primary: 60H10
Secondary: 93E03

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