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
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Differential equations
Engineering
Generators
Mathematical functions
Stochastic models
Theorems
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container_title Mathematical problems in engineering
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creator He, Ping
Zhang, Defei
Ren, Yong
description 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.
doi_str_mv 10.1155/2020/1518723
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source Elektronische Zeitschriftenbibliothek - Frei zugängliche E-Journals; Wiley Online Library Open Access; Alma/SFX Local Collection
subjects Differential equations
Engineering
Generators
Mathematical functions
Stochastic models
Theorems
title A Study on a New Class of Backward Stochastic Differential Equation
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