Anticipated backward stochastic differential equations with non-Lipschitz coefficients

Hao Wu, Wenyuan Wang and Jie Ren

Statistics & Probability Letters, 2012, vol. 82, issue 3, 672-682

Abstract: This paper deals with a class of anticipated backward stochastic differential equations. We extend results of Peng and Yang (2009) to the case in which the generator satisfies non-Lipschitz condition. The existence and uniqueness of solutions for anticipated backward stochastic differential equations as well as a comparison theorem are obtained. The existence and uniqueness of Lp(p>2) solutions for anticipated backward stochastic differential equations are also studied.

Keywords: Anticipated backward stochastic differential equations; Non-Lipschitz; Comparison theorem (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (3)

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DOI: 10.1016/j.spl.2011.12.008

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