Solutions and comparison theorems for anticipated backward stochastic differential equations with non-Lipschitz generators | Zendy

Xuecheng Xu | Zendy; Min Chen | Zendy

Open Access

Solutions and comparison theorems for anticipated backward stochastic differential equations with non-Lipschitz generators

Author(s) -

Xuecheng Xu,

Min Chen

Publication year - 2016

Publication title -

journal of advances in mathematics

Language(s) - English

Resource type - Journals

ISSN - 2347-1921

DOI - 10.24297/jam.v12i4.345

Subject(s) - mathematics , lipschitz continuity , stochastic differential equation , uniqueness , type (biology) , comparison theorem , mathematical analysis , ecology , biology

This paper is devoted to solving multidimensional anticipated backward stochastic differential equations (anticipated BSDEs for short) with a kind of non-Lipschitz generators. We establish the existence and uniqueness result for L2 solutions of this kind of anticipated BSDEs, and establish the corresponding one-dimensional comparison theorems for the type of anticipated BSDEs. Our results improve some known results.

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