A general comparison theorem for 1-dimensional anticipated BSDEs
Probability
2017-03-24 v2
Abstract
Anticipated backward stochastic differential equation (ABSDE) studied the first time in 2007 is a new type of stochastic differential equations. In this paper, we establish a general comparison theorem for 1-dimensional ABSDEs with the generators depending on the anticipated term of .
Cite
@article{arxiv.0911.0507,
title = {A general comparison theorem for 1-dimensional anticipated BSDEs},
author = {Xiaoming Xu},
journal= {arXiv preprint arXiv:0911.0507},
year = {2017}
}
Comments
8 pages