ANTICIPATED BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS

• 成果类型: Article
• 署名作者: Peng, Shige; Yang, Zhe
• 署名单位: Shandong University
• 刊物名称: ANNALS OF PROBABILITY
• ISSN/ISSBN: 0091-1798
• DOI: 10.1214/08-AOP423
• 发表日期: 2009
• 页码: 877-902
• 关键词: comparison theorem; EXISTENCE; bsde; sdes

摘要

In this paper we discuss new types of differential equations which we call anticipated backward stochastic differential equations (anticipated BSDEs). In these equations the generator includes not only the values of solutions of the present but also the future. We show that these anticipated BSDEs have unique solutions, a comparison theorem for their solutions, and a duality between them and stochastic differential delay equations.