Please use this identifier to cite or link to this item:
https://hdl.handle.net/2440/79894
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Type: | Journal article |
Title: | Some properties of generalized anticipated backward stochastic differential equations |
Author: | Yang, Z. Elliott, R. |
Citation: | Electronic Communications in Probability, 2013; 18(none):1-10 |
Publisher: | Institute of Mathematical Statistics |
Issue Date: | 2013 |
ISSN: | 1083-589X 1083-589X |
Statement of Responsibility: | Zhe Yang, Robert J. Elliott |
Abstract: | In this paper, after recalling the definition of generalized anticipated backward stochastic differential equations (generalized anticipated BSDEs for short) and the existence and uniqueness theorem for their solutions, we show there is a duality between them and stochastic differential delay equations. We then provide a continuous dependence property for their solutions with respect to the parameters and finally establish a comparison result for the solutions of these equations. |
Keywords: | Generalized anticipated BSDEs duality continuous dependence property comparison theorem |
Rights: | Creative Commons Attribution License. Attribution 3.0 |
DOI: | 10.1214/ECP.v18-2415 |
Grant ID: | ARC |
Published version: | http://dx.doi.org/10.1214/ecp.v18-2415 |
Appears in Collections: | Aurora harvest 4 Mathematical Sciences publications |
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hdl_79894.pdf | Published Version | 346.37 kB | Adobe PDF | View/Open |
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