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A general comparison theorem for 1-dimensional anticipated BSDEs

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Abstract

Anticipated backward stochastic differential equation (ABSDE) studied the first time in 2007 is a new type of stochastic differential equations. In this paper, we establish a general comparison theorem for ABSDEs.

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Authors and Affiliations

  1. Institute of Finance and Statistics, School of Mathematical Sciences, Nanjing Normal University, Nanjing, 210023, China

    Xiao-ming Xu

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  1. Xiao-ming Xu
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Correspondence to Xiao-ming Xu.

Additional information

This work is supported by the National Natural Science Foundation of China (Grant No. 11301274), the Specialized Research Fund for the Doctoral Program of Higher Education of China (Grant No. 20113207120002), and the Program of Natural Science Research of Jiangsu Higher Education Institutions of China (Grant No. 13KJB110017).

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Xu, Xm. A general comparison theorem for 1-dimensional anticipated BSDEs. Acta Math. Appl. Sin. Engl. Ser. 32, 343–348 (2016). https://doi.org/10.1007/s10255-016-0558-9

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  • DOI: https://doi.org/10.1007/s10255-016-0558-9

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