IDEAS home Printed from https://ideas.repec.org/a/eee/stapro/v168y2021ics016771522030256x.html
   My bibliography  Save this article

Converse comparison theorems for multidimensional anticipated backward stochastic differential equations

Author

Listed:
  • Wu, Hao
  • Li, Xuefeng

Abstract

The converse comparison theorems have received much attention in the theory of BSDEs and ABSDEs. But, no such theory has been given for multidimensional ABSDEs. In this paper, we mainly study a certain kind of multidimensional ABSDEs and give the converse theorems for this type of multidimensional ABSDEs.

Suggested Citation

  • Wu, Hao & Li, Xuefeng, 2021. "Converse comparison theorems for multidimensional anticipated backward stochastic differential equations," Statistics & Probability Letters, Elsevier, vol. 168(C).
    • Handle: RePEc:eee:stapro:v:168:y:2021:i:c:s016771522030256x
    DOI: 10.1016/j.spl.2020.108953
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S016771522030256X
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.spl.2020.108953?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Di Nunno, Giulia & Sjursen, Steffen, 2014. "BSDEs driven by time-changed Lévy noises and optimal control," Stochastic Processes and their Applications, Elsevier, vol. 124(4), pages 1679-1709.
    2. 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.
    3. Li, Juan & Tang, Shanjian, 2007. "A local strict comparison theorem and converse comparison theorems for reflected backward stochastic differential equations," Stochastic Processes and their Applications, Elsevier, vol. 117(9), pages 1234-1250, September.
    4. Madec, P.Y., 2015. "Ergodic BSDEs and related PDEs with Neumann boundary conditions under weak dissipative assumptions," Stochastic Processes and their Applications, Elsevier, vol. 125(5), pages 1821-1860.
    5. Lu, Wen & Ren, Yong, 2013. "Anticipated backward stochastic differential equations on Markov chains," Statistics & Probability Letters, Elsevier, vol. 83(7), pages 1711-1719.
    6. Liu, Haodong & Yang, Shuzhen, 2017. "Representation and converse comparison theorems for multidimensional BSDEs," Statistics & Probability Letters, Elsevier, vol. 127(C), pages 67-74.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Xiong, Yafang & Xu, Xiaoming, 2020. "Anticipated backward stochastic differential equations with left-Lipschitz coefficient," Statistics & Probability Letters, Elsevier, vol. 163(C).
    2. Hu, Ying & Lemonnier, Florian, 2019. "Ergodic BSDE with unbounded and multiplicative underlying diffusion and application to large time behaviour of viscosity solution of HJB equation," Stochastic Processes and their Applications, Elsevier, vol. 129(10), pages 4009-4050.
    3. Lu, Wen & Ren, Yong & Hu, Lanying, 2015. "Mean-field backward stochastic differential equations in general probability spaces," Applied Mathematics and Computation, Elsevier, vol. 263(C), pages 1-11.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:168:y:2021:i:c:s016771522030256x. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.