Some properties of generalized anticipated backward stochastic differential equations

dc.contributor.author	Yang, Z.
dc.contributor.author	Elliott, R.
dc.date.issued	2013
dc.description.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.
dc.description.statementofresponsibility	Zhe Yang, Robert J. Elliott
dc.identifier.citation	Electronic Communications in Probability, 2013; 18(63):1-10
dc.identifier.doi	10.1214/ECP.v18-2415
dc.identifier.issn	1083-589X
dc.identifier.issn	1083-589X
dc.identifier.uri	http://hdl.handle.net/2440/79894
dc.language.iso	en
dc.publisher	Institute of Mathematical Statistics
dc.relation.grant	ARC
dc.rights	Creative Commons Attribution License. Attribution 3.0
dc.source.uri	http://dx.doi.org/10.1214/ECP.v18-2415
dc.subject	Generalized anticipated BSDEs
dc.subject	duality
dc.subject	continuous dependence property
dc.subject	comparison theorem
dc.title	Some properties of generalized anticipated backward stochastic differential equations
dc.type	Journal article
pubs.publication-status	Published

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