Anticipated backward stochastic differential equations

DOI10.1214/08-AOP423zbMATH Open1186.60053arXiv0705.1822OpenAlexW3099900433MaRDI QIDQ2270604FDOQ2270604

Authors: Shige Peng, Zhe Yang 

Publication date: 28 July 2009

Published in: The Annals of Probability (Search for Journal in Brave)

Abstract: In this paper we discuss new types of differential equations which we call anticipated backward stochastic differential equations (anticipated BSDEs). In these equations the generator includes not only the values of solutions of the present but also the future. We show that these anticipated BSDEs have unique solutions, a comparison theorem for their solutions, and a duality between them and stochastic differential delay equations.

Full work available at URL: https://arxiv.org/abs/0705.1822

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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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