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A converse comparison theorem for anticipated BSDEs and related non-linear expectations

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  • Yang, Zhe
  • Elliott, Robert J.

Abstract

The converse comparison theorem has received much attention in the theory of backward stochastic differential equations (BSDEs). However, no such theorem has been proved for anticipated BSDEs. In this paper, we derive a converse comparison theorem by first giving an existence and uniqueness theorem for adapted solutions of anticipated BSDEs with a stopping time and then related to (f,δ)-expectations induced by anticipated BSDEs.

Suggested Citation

  • Yang, Zhe & Elliott, Robert J., 2013. "A converse comparison theorem for anticipated BSDEs and related non-linear expectations," Stochastic Processes and their Applications, Elsevier, vol. 123(2), pages 275-299.
    • Handle: RePEc:eee:spapps:v:123:y:2013:i:2:p:275-299
    DOI: 10.1016/j.spa.2012.09.006
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    References listed on IDEAS

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    1. N. El Karoui & S. Peng & M. C. Quenez, 1997. "Backward Stochastic Differential Equations in Finance," Mathematical Finance, Wiley Blackwell, vol. 7(1), pages 1-71, January.
    2. Jiang, Long, 2005. "Converse comparison theorems for backward stochastic differential equations," Statistics & Probability Letters, Elsevier, vol. 71(2), pages 173-183, February.
    3. Chen, Zengjing & Peng, Shige, 2000. "A general downcrossing inequality for g-martingales," Statistics & Probability Letters, Elsevier, vol. 46(2), pages 169-175, January.
    4. Rosazza Gianin, Emanuela, 2006. "Risk measures via g-expectations," Insurance: Mathematics and Economics, Elsevier, vol. 39(1), pages 19-34, August.
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    Cited by:

    1. Xiong, Yafang & Xu, Xiaoming, 2020. "Anticipated backward stochastic differential equations with left-Lipschitz coefficient," Statistics & Probability Letters, Elsevier, vol. 163(C).
    2. Wu, Hao & Li, Xuefeng, 2021. "Converse comparison theorems for multidimensional anticipated backward stochastic differential equations," Statistics & Probability Letters, Elsevier, vol. 168(C).

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