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

Xuecheng XU; Min Chen

doi:10.24297/jam.v12i4.345

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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Published

2016-05-30

How to Cite

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