Anticipated backward doubly stochastic differential equations

被引：10

作者：

Xu, Xiaoming ^{[1
]}

机构：

[1] Nanjing Normal Univ, Sch Math Sci, Inst Finance & Stat, Nanjing 210023, Jiangsu, Peoples R China

来源：

APPLIED MATHEMATICS AND COMPUTATION | 2013年 / 220卷

基金：

中国国家自然科学基金; 高等学校博士学科点专项科研基金;

关键词：

Anticipated backward doubly stochastic differential equation; Comparison theorem; Duality; SPDES;

D O I：

10.1016/j.amc.2013.05.054

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this paper, we deal with a new type of differential equations called anticipated backward doubly stochastic differential equations (anticipated BDSDEs). The coefficients of these BDSDEs depend on the future value of the solution (Y,Z). We obtain the existence and uniqueness theorem and a comparison theorem for the solutions of these equations. Besides, as an application, we also establish a duality between the anticipated BDSDEs and the delayed doubly stochastic differential equations (delayed DSDEs). (C) 2013 Elsevier Inc. All rights reserved.

引用

页码：53 / 62

页数：10

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