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

DOI10.1016/J.SPA.2012.09.006zbMATH Open1264.60043OpenAlexW2049689185MaRDI QIDQ1933588FDOQ1933588

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

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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)

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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