Anticipated backward stochastic differential equations

DOI10.1214/08-AOP423zbMath1186.60053arXiv0705.1822OpenAlexW3099900433MaRDI QIDQ2270604

Shige Peng, Zhe Yang

Publication date: 28 July 2009

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0705.1822

zbMATH Keywords

SDE with delayBackward stochastic differential equationanticipated equations with adapted solutionBSDE with anticipation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic systems in control theory (general) (93E03) Stochastic integral equations (60H20)

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