Anticipated BSDEs driven by a single jump process

作者：Hu, Lanying; Ren, Yong^*; Yang, Li

来源：Stochastic Analysis and Applications, 2018, 36(1): 152-165.

DOI：10.1080/07362994.2017.1379418

• Anticipated backward stochastic differential equation
• comparison theorem
• single jump process

In this paper, we discuss a class of anticipated backward stochastic differential equations related to a finite continuous time single jump process. We prove the existence and uniqueness of the adapted solution. Moreover, a comparison theorem for the solutions is also established.

• 出版日期2018
• 单位安徽师范大学