Yang, Zhe; Elliott, Robert J. - In: Stochastic Processes and their Applications 123 (2013) 2, pp. 275-299
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 …