Some properties of generalized anticipated backward stochastic differential equations

Zhe Yang (University of Calgary)
Robert J. Elliott (University of Calgary)

Abstract


In this paper, after recalling the definition of generalized anticipated backward stochastic differential equations (generalized anticipated BSDEs for short) and the existence and uniqueness theorem for their solutions, we show there is a duality between them and stochastic differential delay equations. We then provide a continuous dependence property for their solutions with respect to the parameters and finally establish a comparison result for the solutions of these equations.

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Pages: 1-10

Publication Date: July 19, 2013

DOI: 10.1214/ECP.v18-2415

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