Solutions and comparison theorems for anticipated backward stochastic differential equations with non-Lipschitz generators

Authors

  • Xuecheng XU College of Sciences, China University of Mining and Technology, Xuzhou, Jiangsu, 221116,
  • Min Chen College of Sciences, China University of Mining and Technology, Xuzhou, Jiangsu, 221116,

DOI:

https://doi.org/10.24297/jam.v12i4.345

Keywords:

Anticipated backward stochastic differential equation, comparison theorem, non-Lipschitz generator, existence and uniqueness

Abstract

This paper is devoted to solving multidimensional anticipated backward stochastic differential equations (anticipated BSDEs for short) with a kind of non-Lipschitz generators. We establish the existence and uniqueness result for L2 solutions of this kind of anticipated BSDEs, and establish the corresponding one-dimensional comparison theorems for the type of anticipated BSDEs. Our results improve some known results.

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JOURNAL OF ADVANCES IN MATHEMATICS

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Published

2016-05-30

Issue

Vol. 12 No. 4 (2016)

Section

Articles

License

Creative Commons License All articles published in Journal of Advances in Linguistics are licensed under a Creative Commons Attribution 4.0 International License.

How to Cite

Solutions and comparison theorems for anticipated backward stochastic differential equations with non-Lipschitz generators. (2016). JOURNAL OF ADVANCES IN MATHEMATICS, 12(4), 6139-6147. https://doi.org/10.24297/jam.v12i4.345