Comparison theorems for anticipated BSDEs with non-Lipschitz coefficients

DOI10.1016/J.JMAA.2014.03.009zbMATH Open1326.60088OpenAlexW2062740134MaRDI QIDQ488764FDOQ488764

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

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• Anticipated backward stochastic differential equations with non-Lipschitz coefficients
• Anticipated backward stochastic differential equations with non-Lipschitz coefficients
• Necessary and sufficient condition for the comparison theorem of multidimensional anticipated backward stochastic differential equations
• Comparison theorems for BSDEs with non-Lipschitz coefficients
• A converse comparison theorem for anticipated BSDEs and related non-linear expectations

zbMATH Keywords

comparison theoremnon-Lipschitz coefficientsanticipated backward stochastic differential equations

Mathematics Subject Classification ID

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

Cites Work

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

Cited In (10)

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

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