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arXiv · 0911.0507

A general comparison theorem for 1-dimensional anticipated BSDEs

Xiaoming Xu
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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 $Z$.

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Xiaoming Xu. 2009-11-03. A general comparison theorem for 1-dimensional anticipated BSDEs. https://doi.org/10.1007/s10255-016-0558-9

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