A converse comparison theorem for anticipated BSDEs and related non-linear expectations

Zhe Yang and Robert J. Elliott

Stochastic Processes and their Applications, 2013, vol. 123, issue 2, 275-299

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: Anticipated BSDEs; Stopping times; (f,δ)-expectations; Converse comparison theorem (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:123:y:2013:i:2:p:275-299

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DOI: 10.1016/j.spa.2012.09.006

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