| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1144655 | Journal of the Korean Statistical Society | 2015 | 7 Pages |
Abstract
In this paper, we discuss a class of anticipated backward stochastic differential equations (anticipated BSDEs, in short) driven by time-changed Lévy noises. We establish the existence and uniqueness of the solution. Moreover, we establish the duality relation between stochastic differential delay equations (SDDEs, in short) and anticipated BSDEs driven by time-changed Lévy noises.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Youxin Liu, Yong Ren,