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A general comparison theorem for 1-dimensional anticipated BSDEs

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Publication date
28 October 2011
Publisher
'Springer Science and Business Media LLC'
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    Abstract

    Anticipated backward stochastic differential equation (ABSDE) studied the first time in 2007 is a new type of stochastic differential equations. In this paper, we establish a general comparison theorem for 1-dimensional ABSDEs with the generators depending on the anticipated term of ZZ.Comment: 8 page

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