Title of article
A converse comparison theorem for anticipated BSDEs and related non-linear expectations
Author/Authors
Yang، نويسنده , , Zhe and Elliott، نويسنده , , Robert J.، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2013
Pages
25
From page
275
To page
299
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 ) -expectations induced by anticipated BSDEs.
Keywords
( f , ? ) -expectations , Converse comparison theorem , Stopping Times , Anticipated BSDEs
Journal title
Stochastic Processes and their Applications
Serial Year
2013
Journal title
Stochastic Processes and their Applications
Record number
1578784
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