Solutions and comparison theorems for anticipated backward stochastic differential equations with non-Lipschitz generators
Journal Title: JOURNAL OF ADVANCES IN MATHEMATICS - Year 2016, Vol 12, Issue 4
Abstract
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.
Authors and Affiliations
Xuecheng XU, Min Chen
Keywords
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- EP ID EP651751
- DOI 10.24297/jam.v12i4.345
- Views 173
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