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A Study on a New Class of Backward Stochastic Differential Equation

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  • Ping He
  • Yong Ren
  • Defei Zhang

Abstract

The existence and uniqueness for a new type of backward stochastic differential equation when the generator includes the values of solutions of the past, the present, and the future are obtained in this paper. An important comparison theorem for this sort of BSDEs is also proved.

Suggested Citation

  • Ping He & Yong Ren & Defei Zhang, 2020. "A Study on a New Class of Backward Stochastic Differential Equation," Mathematical Problems in Engineering, Hindawi, vol. 2020, pages 1-9, May.
    • Handle: RePEc:hin:jnlmpe:1518723
    DOI: 10.1155/2020/1518723
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    Cited by:

    1. Chen, Xin & Ye, Wenjie, 2021. "A probabilistic representation for heat flow of harmonic map on manifolds with time-dependent Riemannian metric," Statistics & Probability Letters, Elsevier, vol. 177(C).
    2. Pei Zhang & Adriana Irawati Nur Ibrahim & Nur Anisah Mohamed, 2023. "Anticipated BSDEs Driven by Fractional Brownian Motion with a Time-Delayed Generator," Mathematics, MDPI, vol. 11(23), pages 1-13, December.
    3. Pei Zhang & Nur Anisah Mohamed & Adriana Irawati Nur Ibrahim, 2023. "Mean-Field and Anticipated BSDEs with Time-Delayed Generator," Mathematics, MDPI, vol. 11(4), pages 1-13, February.

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