Anticipated backward doubly stochastic differential equations

DOI10.1016/J.AMC.2013.05.054zbMATH Open1329.60203arXiv1207.6165OpenAlexW2049727873MaRDI QIDQ902476FDOQ902476

Authors: Xiaoming Xu 

Publication date: 18 January 2016

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

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).

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

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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)

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Cited In (17)

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• 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
• Title not available (Why is that?)
• 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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