Search Results - subject:"Anticipated backward stochastic differential equations"

Numerical algorithms for reflected anticipated backward stochastic differential equations with two obstacles and default risk

Wang, Jingnan; Korn, Ralf - In: Risks 8 (2020) 3, pp. 1-30

We study numerical algorithms for reflected anticipated backward stochastic differential equations (RABSDEs) driven by …

Persistent link: https://www.econbiz.de/10013200605

Numerical algorithms for reflected anticipated backward stochastic differential equations with two obstacles and default risk

Wang, Jingnan; Korn, Ralf - In: Risks : open access journal 8 (2020) 3/72, pp. 1-30

We study numerical algorithms for reflected anticipated backward stochastic differential equations (RABSDEs) driven by …

Persistent link: https://www.econbiz.de/10012293131

Anticipated backward stochastic differential equations on Markov chains

Lu, Wen; Ren, Yong - In: Statistics & Probability Letters 83 (2013) 7, pp. 1711-1719

In this paper, we deal with a class of anticipated backward stochastic differential equations related to finite state …

Persistent link: https://www.econbiz.de/10010665592

Anticipated backward stochastic differential equations with non-Lipschitz coefficients

Wu, Hao; Wang, Wenyuan; Ren, Jie - In: Statistics & Probability Letters 82 (2012) 3, pp. 672-682

This paper deals with a class of anticipated backward stochastic differential equations. We extend results of Peng and … for anticipated backward stochastic differential equations as well as a comparison theorem are obtained. The existence and … uniqueness of Lp(p>2) solutions for anticipated backward stochastic differential equations are also studied. …

Persistent link: https://www.econbiz.de/10010571753