Converse comparison theorems for multidimensional anticipated backward stochastic differential equations

Hao Wu and Xuefeng Li

Statistics & Probability Letters, 2021, vol. 168, issue C

Abstract: The converse comparison theorems have received much attention in the theory of BSDEs and ABSDEs. But, no such theory has been given for multidimensional ABSDEs. In this paper, we mainly study a certain kind of multidimensional ABSDEs and give the converse theorems for this type of multidimensional ABSDEs.

Keywords: Converse comparison theorem; Multidimensional ABSDEs; Comparison theorem (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1016/j.spl.2020.108953

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