Backward Stochastic Differential Equations and Backward Stochastic Volterra Integral Equations with Anticipating Generators

Hanxiao Wang; Jiongmin Yong; Chao Zhou

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arXiv · 2206.12530

Backward Stochastic Differential Equations and Backward Stochastic Volterra Integral Equations with Anticipating Generators

Hanxiao Wang·Jiongmin Yong·Chao Zhou

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Abstract

For a backward stochastic differential equation (BSDE, for short), when the generator is not progressively measurable, it might not admit adapted solutions, shown by an example. However, for backward stochastic Volterra integral equations (BSVIEs, for short), the generators are allowed to be anticipating. This gives, among other things, an essential difference between BSDEs and BSVIEs. Under some proper conditions, the well-posedness of such kinds of BSVIEs is established. Further, the results are extended to path-dependent BSVIEs, in which the generators can depend on the future paths of unknown processes. An additional finding is that for path-dependent BSVIEs, in general, the situation of anticipating generators is not avoidable and the adaptedness condition similar to that imposed for anticipated BSDEs by Peng--Yang [22] is not necessary.

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Hanxiao Wang, Jiongmin Yong, Chao Zhou. 2022-06-25. Backward Stochastic Differential Equations and Backward Stochastic Volterra Integral Equations with Anticipating Generators. https://arxiv.org/abs/2206.12530

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