Adelaide Research & Scholarship
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https://hdl.handle.net/2440/79053
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| Type: | Journal article |
| Title: | A converse comparison theorem for anticipated BSDEs and related non-linear expectations |
| Author: | Yang, Z. Elliott, R. |
| Citation: | Stochastic Processes and their Applications, 2013; 123(2):275-299 |
| Publisher: | Elsevier Science BV |
| Issue Date: | 2013 |
| ISSN: | 0304-4149 1879-209X |
| Statement of Responsibility: | Zhe Yang, Robert J. Elliott |
| Abstract: | The converse comparison theorem has received much attention in the theory of backward stochastic differential equations (BSDEs). However, no such theorem has been proved for anticipated BSDEs. In this paper, we derive a converse comparison theorem by first giving an existence and uniqueness theorem for adapted solutions of anticipated BSDEs with a stopping time and then related to ( f, δ)-expectations induced by anticipated BSDEs. © 2012 Elsevier B.V. All rights reserved. |
| Keywords: | Anticipated BSDEs Stopping times (f,δ)(f,δ)-expectations Converse comparison theorem |
| Rights: | Copyright © 2012 Elsevier B.V. All rights reserved. |
| DOI: | 10.1016/j.spa.2012.09.006 |
| Published version: | http://dx.doi.org/10.1016/j.spa.2012.09.006 |
| Appears in Collections: | Aurora harvest Mathematical Sciences publications |
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