BSDEs and SDEs with time-advanced and -delayed coefficients

DOI10.1080/17442508.2018.1551399zbMATH Open1492.60181arXiv1701.05106OpenAlexW2963669472MaRDI QIDQ5087028FDOQ5087028

Authors: Gaofeng Zong, Shiqiu Zheng 

Publication date: 8 July 2022

Published in: Stochastics (Search for Journal in Brave)

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.

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

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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)

Cites Work

• Title not available (Why is that?)
• Anticipated backward stochastic differential equations
• Title not available (Why is that?)
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• Comparison theorem of one-dimensional stochastic hybrid delay systems
• BSE's, BSDE's and fixed-point problems
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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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