BSDEs and SDEs with time-advanced and -delayed coefficients

DOI10.1080/17442508.2018.1551399MaRDI QIDQ5087028zbMATH OpenOpenAlexFDO

Authors Gaofeng Zong, Shiqiu Zheng

Publication date 8 July 2022

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1701.05106

zbMATH Keywords

stochastic differential equationbackward stochastic differential equationcomparison theoremtime-advanced coefficientstime-delayed coefficients

Mathematics Subject Classification ID

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

Abstract: This paper introduces a class of backward stochastic differential equations (BSDEs), whose coefficients not only depend on the value of its solutions of the present but also the past and the future. For a sufficiently small time delay or a sufficiently small Lipschitz constant, the existence and uniqueness of such BSDEs is obtained. As an adjoint process, a class of stochastic differential equations (SDEs) is introduced, whose coefficients also depend on the present, the past and the future of its solutions. The existence and uniqueness of such SDEs is proved for a sufficiently small time advance or a sufficiently small Lipschitz constant. A duality between such BSDEs and SDEs is established.

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Cited in

(5)

• A stochastic approach to path-dependent nonlinear Kolmogorov equations via BSDEs with time-delayed generators and applications to finance
• Backward stochastic differential equations in the plane
• BSDEs with time-delayed generators of a moving average type with applications to non-monotone preferences
• A simple constructive approach to quadratic BSDEs with or without delay
• Delay BSDEs driven by fractional Brownian motion

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