A converse comparison theorem for anticipated BSDEs and related non-linear expectations |
| |
| Authors: | Zhe Yang Robert J Elliott |
| |
| Institution: | 1. School of Mathematics, Shandong University, Jinan 250100, China;2. Department of Mathematics and Statistics, University of Calgary, 2500 University Drive NW, Calgary, AB, T2N 1N4, Canada;3. Haskayne School of Business, University of Calgary, 2500 University Drive NW, Calgary, AB, T2N 1N4, Canada;4. School of Mathematical Sciences, University of Adelaide, SA 5005, Australia |
| |
| 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) δ)-expectations Converse comparison theorem |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
