Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1154911 | Statistics & Probability Letters | 2012 | 11 Pages |
Abstract
This paper deals with a class of anticipated backward stochastic differential equations. We extend results of Peng and Yang (2009) to the case in which the generator satisfies non-Lipschitz condition. The existence and uniqueness of solutions for anticipated backward stochastic differential equations as well as a comparison theorem are obtained. The existence and uniqueness of Lp(p>2)Lp(p>2) solutions for anticipated backward stochastic differential equations are also studied.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Hao Wu, Wenyuan Wang, Jie Ren,