Lp solutions of anticipated backward stochastic differential equations under monotonicity and general increasing conditions. Issue 2 (17th February 2016)

• Record Type: Journal Article
• Authors: Hu, Feng; Chen, Zengjing
• Is Part Of: Stochastics. Volume 88:Issue 2(2016)
• Page Start: 267
• Page End: 284
• Publication Date: 2016-02-17
• Subjects: anticipated backward stochastic differential equation (anticipated BSDE) -- monotonicity condition -- comparison theorem; Primary 60H10; Stochastic processes -- Periodicals; Probabilities -- Periodicals; 519.2
• DOI: 10.1080/17442508.2015.1052810
• Languages: English
• ISSNs: 1744-2508

Abstract

Abstract : In this paper, we deal with a class of anticipated backward stochastic differential equations (anticipated BSDEs) under weak assumptions on the coefficients. We prove the existence and uniqueness result for solutions of anticipated BSDEs under monotonicity and general increasing conditions on, with Lipschitz on . Furthermore, we give several comparison theorems with respect to 1-dimensional anticipated BSDEs.