Generalized anticipated backward stochastic differential equations driven by Brownian motion and continuous increasing process

被引：1

作者：

Wu Hao ^{[1
]}

Wang Weifeng ^{[1
]}

Guo Zhongkai ^{[1
]}

机构：

[1] South Cent Univ Nationalities, Sch Math & Stat, Wuhan 430000, Hubei, Peoples R China

来源：

COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION | 2018年 / 47卷 / 03期

关键词：

Comparison theorem; Duality; GABSDEs; Increasing process; NEUMANN BOUNDARY-CONDITIONS; BSDES; PDES;

D O I：

10.1080/03610918.2017.1291966

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

This article mainly considers a new class of anticipated BSDEs driven by Brownian motion and continuous increasing process, which are called generalized anticipated backward stochastic differential equations(GABSDEs). We first give the form of GABSDEs. Then, existence and uniqueness result for GABSDEs is established as well as a comparison theorem is obtained under the certain assumptions. At last, we give an application about the duality between SDDEs and GABSDEs.

引用

页码：809 / 821

页数：13

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