Generalized anticipated backward stochastic differential equations driven by Brownian motion and continuous increasing process

DOI10.1080/03610918.2017.1291966OpenAlexW2587175399MaRDI QIDQ5084745

Wang Weifeng, Guo Zhongkai, Wu Hao

Publication date: 28 June 2022

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2017.1291966

zbMATH Keywords

comparison theoremdualityincreasing processGABSDEs

Mathematics Subject Classification ID

Stochastic integrals (60H05) Stochastic integral equations (60H20)

Cites Work

• Anticipated backward stochastic differential equations on Markov chains
• Mixed boundary value problems of semilinear elliptic PDEs and BSDEs with singular coefficients
• Adapted solution of a backward stochastic differential equation
• Mean-field backward stochastic differential equations and related partial differential equations
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• Generalized BSDEs and nonlinear Neumann boundary value problems
• Generalized BSDE with 2-reflecting barriers and stochastic quadratic growth
• Generalized BSDEs driven by fractional Brownian motion
• Ergodic BSDEs and related PDEs with Neumann boundary conditions under weak dissipative assumptions
• Anticipated backward stochastic differential equations
• BSDEs of counterparty risk
• BSDEs driven by time-changed Lévy noises and optimal control
• Generalized backward doubly stochastic differential equations and SPDEs with nonlinear Neumann boundary conditions
• Anticipated BSDEs driven by time-changed Lévy noises
• Generalized Reflected BSDE and an Obstacle Problem for PDEs with a Nonlinear Neumann Boundary Condition
• Linear Quadratic Optimal Stochastic Control with Random Coefficients

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