Anticipated backward stochastic differential equations with left-Lipschitz coefficient

Yafang Xiong and Xiaoming Xu

Statistics & Probability Letters, 2020, vol. 163, issue C

Abstract: This paper deals with one-dimensional anticipated backward stochastic differential equations where the coefficient is left-Lipschitz in y and the anticipated term of y⋅. The existence of solutions to the equation as well as a comparison theorem is obtained.

Keywords: Anticipated backward stochastic differential equation; Left-Lipschitz; Existence; Comparison theorem (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1016/j.spl.2020.108762

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