Anticipated backward stochastic differential equations

Details Anticipated backward stochastic differential equations Anticipated backward stochastic differential equations

2007-05-13

arxiv.org/abs/0705.1822v2

Annals of Probability 2009, Vol. 37, No. 3, 877-902

Mathematics

Probability

Published in at http://dx.doi.org/10.1214/08-AOP423 the Annals of Probability (http://www.imstat.org/aop/) by the Institute of

Scientific paper

10.1214/08-AOP423

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.

Affiliated with

Also associated with

No associations

Rating

Anticipated backward stochastic differential equations does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Anticipated backward stochastic differential equations, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Anticipated backward stochastic differential equations will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-458003