| Título: | Some properties of generalized anticipated backward stochastic differential equations |
| Autores: |
Yang, Zhe; University of Calgary Elliott, Robert J.; University of Calgary |
| Fecha: | 2013-01-03 |
| Publicador: | Electronic communications in probability |
| Fuente: |
 |
| Tipo: | Peer-reviewed Article |
| Tema: |
Generalized anticipated BSDEs; duality; continuous dependence property; comparison theorem 60H10;93E03 |
| Descripción: | In this paper, after recalling the definition of generalized anticipated backward stochastic differential equations (generalized anticipated BSDEs for short) and the existence and uniqueness theorem for their solutions, we show there is a duality between them and stochastic differential delay equations. We then provide a continuous dependence property for their solutions with respect to the parameters and finally establish a comparison result for the solutions of these equations. |
| Idioma: | Inglés |
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