Comparison theorems for anticipated BSDEs with non-Lipschitz coefficients

DOI10.1016/J.JMAA.2014.03.009MaRDI QIDQ488764zbMATH OpenOpenAlexFDO

Authors Feng Zhang

Publication date 26 January 2015

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmaa.2014.03.009

zbMATH Keywords

comparison theoremnon-Lipschitz coefficientsanticipated backward stochastic differential equations

Mathematics Subject Classification ID

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

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Cites work

• A converse comparison theorem for anticipated BSDEs and related non-linear expectations
• A general comparison theorem for 1-dimensional anticipated BSDEs
• Adapted solution of a backward stochastic differential equation
• Adapted solutions of backward stochastic differential equations with non- Lipschitz coefficients
• Anticipated backward stochastic differential equations
• Anticipated backward stochastic differential equations on Markov chains
• Anticipated backward stochastic differential equations with non-Lipschitz coefficients
• Forward-backward linear quadratic stochastic optimal control problem with delay
• Maximum principle for the stochastic optimal control problem with delay and application
• Necessary and sufficient condition for the comparison theorem of multidimensional anticipated backward stochastic differential equations
• The stochastic maximum principle for optimal control problems of delay systems involving continuous and impulse controls

Cited in

(10)

• Anticipated backward stochastic differential equations with non-Lipschitz coefficients
• Anticipated backward stochastic differential equations with left-Lipschitz coefficient
• A converse comparison theorem for anticipated BSDEs and related non-linear expectations
• A general comparison theorem for 1-dimensional anticipated BSDEs
• Anticipated backward doubly stochastic differential equations with non-Lipschitz coefficients
• Comparison theorems for anticipated backward doubly stochastic differential equations with non-Lipschitz coefficients
• Comparison theorems for BSDEs with non-Lipschitz coefficients
• Anticipated backward stochastic differential equations with non-Lipschitz coefficients
• Anticipated backward stochastic differential equations and their applications to zero-sum stochastic differential games
• Necessary and sufficient condition for the comparison theorem of multidimensional anticipated backward stochastic differential equations

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