Abstract
In this paper, we discuss a class of anticipated backward stochastic differential equations (anticipated BSDEs, in short) driven by time-changed Lévy noises. We establish the existence and uniqueness of the solution. Moreover, we establish the duality relation between stochastic differential delay equations (SDDEs, in short) and anticipated BSDEs driven by time-changed Lévy noises.
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The work of Youxin Liu is supported by the Education Department of Anhui Province Natural Science Research Project (KJ2013B347). The work of Yong Ren is supported by the National Natural Science Foundation of China (11371029 and 11201004).
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Liu, Y., Ren, Y. Anticipated BSDEs driven by time-changed Lévy noises. J. Korean Stat. Soc. 44, 403–409 (2015). https://doi.org/10.1016/j.jkss.2014.12.001
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DOI: https://doi.org/10.1016/j.jkss.2014.12.001