Converse comparison theorems for multidimensional anticipated backward stochastic differential equations

2021 ◽  
Vol 168 ◽  
pp. 108953
Author(s):  
Hao Wu ◽  
Xuefeng Li
Keyword(s):  
Differential Equations ◽  
Stochastic Differential Equations ◽  
Backward Stochastic Differential Equations ◽  
Comparison Theorems

scholarly journals Solutions and comparison theorems for anticipated backward stochastic differential equations with non-Lipschitz generators

2016 ◽  
Vol 12 (4) ◽  
pp. 6139-6147
Author(s):  
Xuecheng XU ◽  
Min Chen
Keyword(s):  
Differential Equations ◽  
Stochastic Differential Equations ◽  
Existence And Uniqueness ◽  
Backward Stochastic Differential Equations ◽  
Uniqueness Result ◽  
Comparison Theorems ◽  
One Dimensional

This paper is devoted to solving multidimensional anticipated backward stochastic differential equations (anticipated BSDEs for short) with a kind of non-Lipschitz generators. We establish the existence and uniqueness result for L2 solutions of this kind of anticipated BSDEs, and establish the corresponding one-dimensional comparison theorems for the type of anticipated BSDEs. Our results improve some known results.

Converse Comparison Theorems for Backward Stochastic Differential Equations

2013 ◽  
Vol 411-414 ◽  
pp. 1400-1403
Author(s):  
Xiao Qin Huang ◽  
Wei Hua Jiang ◽  
Xiao Jie Liu
Keyword(s):  
Differential Equations ◽  
Stochastic Differential Equations ◽  
Comparison Theorem ◽  
Backward Stochastic Differential Equations ◽  
Comparison Theorems

In this note, we establish a converse comparison theorem for backward stochastic differential equations (BSDEs).

Sign in / Sign up

Export Citation Format

Share Document