Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
6421845 | Applied Mathematics and Computation | 2013 | 10 Pages |
Abstract
In this paper, we deal with a new type of differential equations called anticipated backward doubly stochastic differential equations (anticipated BDSDEs). The coefficients of these BDSDEs depend on the future value of the solution (Y,Z). We obtain the existence and uniqueness theorem and a comparison theorem for the solutions of these equations. Besides, as an application, we also establish a duality between the anticipated BDSDEs and the delayed doubly stochastic differential equations (delayed DSDEs).
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Xiaoming Xu,