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

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.

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Year of publication:	2013
Authors:	Yang, Zhe ; Elliott, Robert J.
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 123.2013, 2, p. 275-299
Publisher:	Elsevier
Subject:	Anticipated BSDEs \| Stopping times \| (f \| δ)-expectations \| Converse comparison theorem

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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