| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1155604 | Stochastic Processes and their Applications | 2013 | 25 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Zhe Yang, Robert J. Elliott,