Anticipated backward doubly stochastic differential equations

DOI10.1016/J.AMC.2013.05.054MaRDI QIDQ902476zbMATH OpenOpenAlexFDO

Authors Xiaoming Xu

Publication date 18 January 2016

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1207.6165

zbMATH Keywords

comparison theoremdualityanticipated backward doubly stochastic differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05)

Abstract: In this paper, we deal with a new type of differential equations called anticipated backward doubly stochastic differential equations (anticipated BDSDEs). The coefficients of these BDSDEs depend on the future value of the solution $(Y,Z)$. We obtain the existence and uniqueness theorem and a comparison theorem for the solutions of these equations. Besides, as an application, we also establish a duality between the anticipated BDSDEs and the delayed doubly stochastic differential equations (delayed DSDEs).

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Cited in

(17)

• Anticipated backward doubly stochastic differential equations
• scientific article; zbMATH DE number 7572906 (Why is no real title available?)
• Anticipated backward stochastic differential equations with left-Lipschitz coefficient
• Anticipated backward SDEs with jumps and quadratic-exponential growth drivers
• Some properties of generalized anticipated backward stochastic differential equations
• Stochastic maximum principle for delayed backward doubly stochastic control systems
• Anticipated backward stochastic differential equations
• On anticipated backward stochastic differential equations with Markov chain noise
• Stochastic maximum principle for delayed doubly stochastic control systems and their applications
• Anticipated backward stochastic differential equations on Markov chains
• The delayed doubly stochastic linear quadratic optimal control problem
• Well-posedness for anticipated backward stochastic Schrödinger equations
• Anticipated backward doubly stochastic differential equations with non-Lipschitz coefficients
• scientific article; zbMATH DE number 7083741 (Why is no real title available?)
• BSDEs and SDEs with time-advanced and -delayed coefficients
• Anticipated BSDEs driven by time-changed Lévy noises
• Reflected solutions of generalized anticipated backward double stochastic differential equations

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