A general comparison theorem for 1-dimensional anticipated BSDEs

Xiaoming Xu

doi:10.1007/s10255-016-0558-9

paper

A general comparison theorem for 1-dimensional anticipated BSDEs

arXiv:0911.0507 · doi:10.1007/s10255-016-0558-9

Abstract

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 $Z$ .

8 pages

References in corpus (1)

Anticipated backward stochastic differential equations