Necessary and sufficient condition for the comparison theorem of multidimensional anticipated backward stochastic differential equations

Details Necessary and sufficient condition for the comparison theorem of multidimensional anticipated backward stochastic differential equations Necessary and sufficient condition for the comparison theorem of multidimensional anticipated backward stochastic differential equations

2009-10-22

arxiv.org/abs/0910.4213v2

Sci China Math, 2011, 54(2): 301-310

Mathematics

Probability

14 pages

Scientific paper

10.1007/s11425-010-4129-x

Anticipated backward stochastic differential equations, studied the first time in 2007, are equations of the following type: {tabular}{rlll} $-dY_t$ &=& $f(t, Y_t, Z_t, Y_{t+\delta(t)}, Z_{t+\zeta(t)})dt-Z_tdB_t, $ & $ t\in[0, T];$ $Y_t$ &=& $\xi_t, $ & $t\in[T, T+K];$ $Z_t$ &=& $\eta_t, $ & $t\in[T, T+K].$ In this paper, we give a necessary and sufficient condition under which the comparison theorem holds for multidimensional anticipated backward stochastic differential equations with generators independent of the anticipated term of $Z$.

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