BSDEs and SDEs with time-advanced and -delayed coefficients

DOI10.1080/17442508.2018.1551399zbMath1492.60181arXiv1701.05106OpenAlexW2963669472MaRDI QIDQ5087028

Gaofeng Zong, Shi-qiu Zheng

Publication date: 8 July 2022

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1701.05106

zbMATH Keywords

stochastic differential equationcomparison theorembackward stochastic differential equationtime-advanced coefficientstime-delayed coefficients

Mathematics Subject Classification ID

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

Cites Work

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• A stochastic approach to path-dependent nonlinear Kolmogorov equations via BSDEs with time-delayed generators and applications to finance
• Local determinacy of prices in an overlapping generations model with continuous trading
• Comparison theorem of one-dimensional stochastic hybrid delay systems

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