2012 · 214 citations · 11 references
EngineeringMathematicsDifferential EquationsStochastic ModelingStochastic ProcessesStochastic CalculusStochastic Differential EquationsStochastic Systems ModelingBackward Stochastic Differential EquationsDelay EquationsStochastic Delay SystemsStochastic Differential SystemsUniqueness Theorems
In this paper we discuss new types of differential equations which we call anticipated backward stochastic differential equations (anticipated BSDEs). In these equations the generator includes not only the values of solutions of the present but also the future. We show that these anticipated BSDEs have unique solutions, a comparison theorem for their solutions, and a duality between them and stochastic
11
Backward Stochastic Differential Equations in Finance
Nicole El Karoui, Shigē Péng, M.C. Quenez · Mathematical Finance · 1997 · 2.4K citations
Engineering, Economics, Finance +10