Anticipated backward stochastic differential equations driven by the Teugels martingales

作者：Zong Gaofeng^*

来源：Journal of Mathematical Analysis and Applications, 2014, 412(2): 989-997.

DOI：10.1016/j.jmaa.2013.11.009

• Anticipated backward stochastic differential equations
• Levy process
• Teugels martingales
• Comparison theorem

In this paper, a class of anticipated backward stochastic differential equations driven by Teugels martingales associated with Levy process is investigated. We obtain the existence and uniqueness of solutions to these equations by means of the fixed-point theorem. We show that a comparison theorem for this type of ABSDEs also holds under some slight stronger conditions.

• 出版日期2014-4-15
• 单位山东大学