A General Comparison Theorem for 1-dimensional Anticipated BSDEs

A General Comparison Theorem for 1-dimensional Anticipated BSDEs

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摘要 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 ABSDEs. 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 ABSDEs.

作者 Xiao-ming XU

机构地区 Institute of Finance and Statistics

出处《Acta Mathematicae Applicatae Sinica》 SCIE CSCD 2016年第2期343-348,共6页 应用数学学报（英文版）

基金 supported by the National Natural Science Foundation of China(Grant No.11301274) the Specialized Research Fund for the Doctoral Program of Higher Education of China(Grant No.20113207120002) the Program of Natural Science Research of Jiangsu Higher Education Institutions of China(Grant No.13KJB110017)

关键词 anticipated backward stochastic differential equation backward stochastic differential equation comparison theorem anticipated backward stochastic differential equation backward stochastic differential equation comparison theorem

分类号 O211.63 [理学—概率论与数理统计]

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Acta Mathematicae Applicatae Sinica

2016年第2期

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A General Comparison Theorem for 1-dimensional Anticipated BSDEs

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