Anticipated backward stochastic differential equations with non-Lipschitz coefficients

作者：Wu, Hao^*; Wang, Wenyuan; Ren, Jie

来源：Statistics & Probability Letters, 2012, 82(3): 672-682.

DOI：10.1016/j.spl.2011.12.008

• Anticipated backward stochastic differential equations
• Non-Lipschitz
• Comparison theorem

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.

• 出版日期2012-3
• 单位华中科技大学; 武汉大学