Anticipated backward stochastic differential equations with left-Lipschitz coefficient

DOI10.1016/J.SPL.2020.108762zbMath1455.60079OpenAlexW3150749292MaRDI QIDQ2006713

Yafang Xiong, Xiao-Ming Xu

Publication date: 12 October 2020

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2020.108762

zbMATH Keywords

existencecomparison theoremanticipated backward stochastic differential equationleft-Lipschitz

Mathematics Subject Classification ID

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

Cites Work

• Unnamed Item
• Unnamed Item
• Anticipated backward stochastic differential equations on Markov chains
• Comparison theorems for anticipated BSDEs with non-Lipschitz coefficients
• Necessary and sufficient condition for the comparison theorem of multidimensional anticipated backward stochastic differential equations
• Adapted solution of a backward stochastic differential equation
• Backward stochastic differential equations with continuous coefficient
• Backward stochastic differential equations and partial differential equations with quadratic growth.
• Adapted solutions of backward stochastic differential equations with non- Lipschitz coefficients
• A converse comparison theorem for anticipated BSDEs and related non-linear expectations
• Anticipated backward stochastic differential equations
• A generalized existence theorem of BSDEs
• L^psolutions of anticipated backward stochastic differential equations under monotonicity and general increasing conditions
• L^p solutions of anticipated BSDEs with weak monotonicity and general growth generators
• Anticipated backward stochastic differential equations with non-Lipschitz coefficients

This page was built for publication: Anticipated backward stochastic differential equations with left-Lipschitz coefficient