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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Cites Work

• Backward stochastic differential equations with reflection and Dynkin games
• Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob-Meyer's type
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• Comparison theorem for solutions of backward stochastic differential equations with continuous coefficient
• The smallest \(g\)-supermartingale and reflected BSDE with single and double \(L^2\) obstacles
• On the comparison theorem for multidimensional BSDEs
• Backward Stochastic Differential Equations in Finance
• Backward SDEs with two barriers and continuous coefficient: an existence result
• Existence of Optimal Strategies Based on Specified Information, for a Class of Stochastic Decision Problems
• Existence of Optimal Stochastic Control Laws
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