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  • 标题:Some properties of generalized anticipated backward stochastic differential equations
  • 本地全文:下载
  • 作者:Yang, Zhe ; Elliott, Robert J.
  • 期刊名称:Electronic Communications in Probability
  • 印刷版ISSN:1083-589X
  • 出版年度:2013
  • 卷号:18
  • 页码:1-10
  • DOI:10.1214/ECP.v18-2415
  • 语种:English
  • 出版社:Electronic Communications in Probability
  • 摘要: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.
  • 关键词:Generalized anticipated BSDEs; duality; continuous dependence property; comparison theorem;60H10;93E03
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