A general comparison theorem for 1-dimensional anticipated BSDEs

Details A general comparison theorem for 1-dimensional anticipated BSDEs A general comparison theorem for 1-dimensional anticipated BSDEs

2009-11-03

arxiv.org/abs/0911.0507v2

Mathematics

Probability

8 pages

Scientific paper

Anticipated backward stochastic differential equation (ABSDE) studied the
first time in 2007 is a new type of stochastic differential equations. In this
paper, we establish a general comparison theorem for 1-dimensional ABSDEs with
the generators depending on the anticipated term of $Z$.

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