A Study on a New Class of Backward Stochastic Differential Equation

A Study on a New Class of Backward Stochastic Differential Equation

The existence and uniqueness for a new type of backward stochastic differential equation when the generator includes the values of solutions of the past, the present, and the future are obtained in this paper. An important comparison theorem for this sort of BSDEs is also proved.

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Veröffentlicht in:Mathematical problems in engineering 2020, Vol.2020 (2020), p.1-9
Hauptverfasser: He, Ping, Zhang, Defei, Ren, Yong
Format: Artikel
Sprache:eng
Schlagworte:
Differential equations
Engineering
Generators
Mathematical functions
Stochastic models
Theorems
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Beschreibung
Zusammenfassung:The existence and uniqueness for a new type of backward stochastic differential equation when the generator includes the values of solutions of the past, the present, and the future are obtained in this paper. An important comparison theorem for this sort of BSDEs is also proved.
ISSN:1024-123X
1563-5147
DOI:10.1155/2020/1518723