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A converse comparison theorem for anticipated BSDEs and related non-linear expectations
- Source :
-
Stochastic Processes & Their Applications . Feb2013, Vol. 123 Issue 2, p275-299. 25p. - Publication Year :
- 2013
-
Abstract
- 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 -expectations induced by anticipated BSDEs. [Copyright &y& Elsevier]
Details
- Language :
- English
- ISSN :
- 03044149
- Volume :
- 123
- Issue :
- 2
- Database :
- Academic Search Index
- Journal :
- Stochastic Processes & Their Applications
- Publication Type :
- Academic Journal
- Accession number :
- 84478232
- Full Text :
- https://doi.org/10.1016/j.spa.2012.09.006