ECP Reading Tools

Some properties of generalized anticipated backward stochastic differential equations

Dublin Core		PKP Metadata Items	Metadata for this Document
1.	Title	Title of document	Some properties of generalized anticipated backward stochastic differential equations
2.	Creator	Author's name, affiliation, country	Zhe Yang; University of Calgary; Canada
2.	Creator	Author's name, affiliation, country	Robert J. Elliott; University of Calgary; Canada
3.	Subject	Discipline(s)
3.	Subject	Keyword(s)	Generalized anticipated BSDEs; duality; continuous dependence property; comparison theorem
3.	Subject	Subject classification	60H10;93E03
4.	Description	Abstract	In this paper, after recalling the definition of generalized anticipated backward stochastic differential equations (generalized anticipated BSDEs for short) and the existence and uniqueness theorem for their solutions, we show there is a duality between them and stochastic differential delay equations. We then provide a continuous dependence property for their solutions with respect to the parameters and finally establish a comparison result for the solutions of these equations.
5.	Publisher	Organizing agency, location
6.	Contributor	Sponsor(s)
7.	Date	(YYYY-MM-DD)	2013-07-19
8.	Type	Status & genre	Peer-reviewed Article
8.	Type	Type
9.	Format	File format	PDF
10.	Identifier	Uniform Resource Identifier	http://ecp.ejpecp.org/article/view/2415
10.	Identifier	Digital Object Identifier	10.1214/ECP.v18-2415
11.	Source	Journal/conference title; vol., no. (year)	Electronic Communications in Probability; Vol 18
12.	Language	English=en	en
14.	Coverage	Geo-spatial location, chronological period, research sample (gender, age, etc.)
15.	Rights	Copyright and permissions	The Electronic Journal of Probability applies the Creative Commons Attribution License (CCAL) to all articles we publish in this journal. Under the CCAL, authors retain ownership of the copyright for their article, but authors allow anyone to download, reuse, reprint, modify, distribute, and/or copy articles published in EJP, so long as the original authors and source are credited. This broad license was developed to facilitate open access to, and free use of, original works of all types. Applying this standard license to your work will ensure your right to make your work freely and openly available. Summary of the Creative Commons Attribution License You are free to copy, distribute, display, and perform the work to make derivative works to make commercial use of the work under the following condition of Attribution: others must attribute the work if displayed on the web or stored in any electronic archive by making a link back to the website of EJP via its Digital Object Identifier (DOI), or if published in other media by acknowledging prior publication in this Journal with a precise citation including the DOI. For any further reuse or distribution, the same terms apply. Any of these conditions can be waived by permission of the Corresponding Author.