Anticipated backward stochastic differential equations with non-Lipschitz coefficients

被引：16

作者：

Wu, Hao ^{[1
]}

Wang, Wenyuan ^{[1
]}

Ren, Jie ^{[2
]}

机构：

[1] Wuhan Univ, Sch Math & Stat, Wuhan 430072, Hubei, Peoples R China

[2] Hua Zhong Univ Sci & Technol, Sch Math & Stat, Wuhan 430000, Hubei, Peoples R China

来源：

STATISTICS & PROBABILITY LETTERS | 2012年 / 82卷 / 03期

关键词：

Anticipated backward stochastic differential equations; Non-Lipschitz; Comparison theorem; UNIQUENESS; EXISTENCE;

D O I：

10.1016/j.spl.2011.12.008

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

This paper deals with a class of anticipated backward stochastic differential equations. We extend results of Peng and Yang (2009) to the case in which the generator satisfies non-Lipschitz condition. The existence and uniqueness of solutions for anticipated backward stochastic differential equations as well as a comparison theorem are obtained. The existence and uniqueness of L-P (p > 2) solutions for anticipated backward stochastic differential equations are also studied. (C) 2011 Elsevier B.V. All rights reserved.

引用

页码：672 / 682

页数：11

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