A converse comparison theorem for anticipated BSDEs and related non-linear expectations

DOI10.1016/J.SPA.2012.09.006MaRDI QIDQ1933588zbMATH OpenOpenAlexFDO

Authors Zhe Yang, Robert J. Elliott

Publication date 24 January 2013

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spa.2012.09.006

zbMATH Keywords

stopping timesconverse comparison theorem\((f, \delta )\)-expectationsanticipated BSDEs

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic analysis (60H99)

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Cited in

(9)

• Converse comparison theorems for multidimensional anticipated backward stochastic differential equations
• Anticipated backward stochastic differential equations with left-Lipschitz coefficient
• Reflected solutions of generalized anticipated BSDEs and application to reflected BSDEs with functional barrier
• Comparison and converse comparison theorems for backward stochastic differential equations with Markov chain noise
• Anticipated backward stochastic differential equations and their applications to zero-sum stochastic differential games
• On anticipated backward stochastic differential equations with Markov chain noise
• Comparison theorems for anticipated BSDEs with non-Lipschitz coefficients
• \(L^p\) solutions of anticipated backward stochastic differential equations under monotonicity and general increasing conditions
• Necessary and sufficient condition for the comparison theorem of multidimensional anticipated backward stochastic differential equations

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