Anticipated backward stochastic differential equations with jumps under the non-Lipschitz condition

DOI10.1016/j.spl.2014.06.001zbMath1314.60117OpenAlexW2007073646MaRDI QIDQ2251710

Shuheng Tu, Wu Hao

Publication date: 15 July 2014

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2014.06.001

zbMATH Keywords

comparison theorembackward stochastic differential equationsPoisson jumpsnon-Lipschitz conditionstochastic delay differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integral equations (60H20)

Related Items (2)

A stochastic maximum principle for a Markov regime-switching jump-diffusion model with delay and an application to finance ⋮ The adapted solutions and comparison theorem for anticipated backward stochastic differential equations with Poisson jumps under the weak conditions

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