Some properties of generalized anticipated backward stochastic differential equations
Files
(Published Version)
Date
2013
Authors
Yang, Z.
Elliott, R.
Editors
Advisors
Journal Title
Journal ISSN
Volume Title
Type:
Journal article
Citation
Electronic Communications in Probability, 2013; 18(63):1-10
Statement of Responsibility
Zhe Yang, Robert J. Elliott
Conference Name
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.
School/Discipline
Dissertation Note
Provenance
Description
Access Status
Rights
Creative Commons Attribution License. Attribution 3.0