Some properties of generalized anticipated backward stochastic differential equations

DOI10.1214/ECP.V18-2415zbMATH Open1329.60204MaRDI QIDQ743035FDOQ743035

Authors: Zhe Yang, Robert J. Elliott 

Publication date: 22 September 2014

Published in: Electronic Communications in Probability (Search for Journal in Brave)

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zbMATH Keywords

comparison theoremdualitystochastic delay differential equationscontinuous dependence propertygeneralized anticipated backward stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic systems in control theory (general) (93E03)

Cited In (21)

• Stochastic maximum principle for moving average control system
• Anticipated mean-field backward stochastic differential equations with jumps
• Anticipated backward doubly stochastic differential equations
• Title not available (Why is that?)
• Some generic properties in backward stochastic differential equations with continuous coefficient
• Anticipated backward SDEs with jumps and quadratic-exponential growth drivers
• Reflected solutions of generalized anticipated BSDEs and application to reflected BSDEs with functional barrier
• Stochastic maximum principle for control systems with time-varying delay
• Forward-backward stochastic equations: a functional fixed point approach
• Linear-quadratic optimal control problems of state delay systems under full and partial information
• Finite horizon stochastic \(H_2/H_\infty\) control with discrete and distributed delays
• Anticipated backward stochastic differential equations
• Maximum principle for stochastic optimal control problem with distributed delays
• Stochastic maximum principle for problems with delay with dependence on the past through general measures
• Fully coupled forward-backward stochastic functional differential equations and applications to quadratic optimal control
• The adapted solutions and comparison theorem for anticipated backward stochastic differential equations with Poisson jumps under the weak conditions
• Maximum principle for non-zero sum stochastic differential game with discrete and distributed delays
• Properties of \(Z\) for anticipated BSDE and application in stochastic control with delay
• BSDEs and SDEs with time-advanced and -delayed coefficients
• Reflected solutions of generalized anticipated backward double stochastic differential equations
• Anticipated backward stochastic variational inequalities with generalized reflection

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