A converse comparison theorem for anticipated BSDEs and related non-linear expectations

DOI10.1016/J.SPA.2012.09.006zbMath1264.60043OpenAlexW2049689185MaRDI QIDQ1933588

Zhe Yang, Robert J. Elliott

Publication date: 24 January 2013

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2012.09.006

zbMATH Keywords

stopping timesconverse comparison theorem\((f, \delta )\)-expectationsanticipated BSDEs

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic analysis (60H99)

Related Items (6)

Converse comparison theorems for multidimensional anticipated backward stochastic differential equations ⋮ Anticipated backward stochastic differential equations and their applications to zero-sum stochastic differential games ⋮ Comparison theorems for anticipated BSDEs with non-Lipschitz coefficients ⋮ Anticipated backward stochastic differential equations with left-Lipschitz coefficient ⋮ L^psolutions of anticipated backward stochastic differential equations under monotonicity and general increasing conditions ⋮ On anticipated backward stochastic differential equations with Markov chain noise

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