کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1155604 | 958750 | 2013 | 25 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
A converse comparison theorem for anticipated BSDEs and related non-linear expectations
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
The converse comparison theorem has received much attention in the theory of backward stochastic differential equations (BSDEs). However, no such theorem has been proved for anticipated BSDEs. In this paper, we derive a converse comparison theorem by first giving an existence and uniqueness theorem for adapted solutions of anticipated BSDEs with a stopping time and then related to (f,δ)(f,δ)-expectations induced by anticipated BSDEs.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 123, Issue 2, February 2013, Pages 275–299
Journal: Stochastic Processes and their Applications - Volume 123, Issue 2, February 2013, Pages 275–299
نویسندگان
Zhe Yang, Robert J. Elliott,