Anticipated backward stochastic differential equations on Markov chains

作者：Lu, Wen; Ren, Yong^*

来源：Statistics & Probability Letters, 2013, 83(7): 1711-1719.

DOI：10.1016/j.spl.2013.03.022

• Anticipated backward stochastic differential equations
• Markov chain
• Comparison theorem

In this paper, we deal with a class of anticipated backward stochastic differential equations related to finite state, continuous time Markov chains. The adapted solution of those equations as well as a scalar comparison theorem will be established.

• 出版日期2013-7
• 单位安徽师范大学; 烟台大学