Infinite Anticipation Backward Stochastic Differential Equations
Fuente:
arXiv
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| Autores principales: | , |
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| Formato: | Preprint |
| Publicado: |
2025
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| Materias: | |
| Acceso en línea: | |
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| _version_ | 1866914164432175104 |
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| author | Cheng, Guanwei Yang, Shuzhen |
| author_facet | Cheng, Guanwei Yang, Shuzhen |
| contents | In this paper, we introduce a new type of backward stochastic differential equations (BSDEs) with infinite anticipation, where the generator depends on the entire future values of the solution in infinite horizon. We show that the new BSDEs has a unique solution and admits a comparison result. In the end, we solve a stochastic control problem via a duality between BSDEs with infinite anticipation and stochastic differential equations (SDEs) with infinite delay. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2511_15548 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Infinite Anticipation Backward Stochastic Differential Equations Cheng, Guanwei Yang, Shuzhen Probability Optimization and Control In this paper, we introduce a new type of backward stochastic differential equations (BSDEs) with infinite anticipation, where the generator depends on the entire future values of the solution in infinite horizon. We show that the new BSDEs has a unique solution and admits a comparison result. In the end, we solve a stochastic control problem via a duality between BSDEs with infinite anticipation and stochastic differential equations (SDEs) with infinite delay. |
| title | Infinite Anticipation Backward Stochastic Differential Equations |
| topic | Probability Optimization and Control |
| url | https://arxiv.org/abs/2511.15548 |