Anticipated backward stochastic differential equations
Anticipated backward stochastic differential equations
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DOI：
10.1214/08-aop423
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发表时间：
2007-05
影响因子：
2.3
通讯作者：
S. Peng;Zhenliu Yang
中科院分区：
文献类型：
--
作者：
S. Peng;Zhenliu Yang
本文讨论了一类新的微分方程，我们称之为预期倒向随机微分方程。在这些方程中，生成器不仅包括现在的解的值，还包括未来的解的值。我们证明了这些预期的BSDEs具有唯一解、解的比较定理以及它们与随机微分时滞方程之间的对偶性。
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.