论文标题
延期的广义BSDE
Time-Delayed Generalized BSDEs
论文作者
论文摘要
我们证明了在较小的延迟设置（或同等小的Lipschitz常数）中，BSDE解决方案的存在和唯一性，该延迟设置中采用了相对于不断增加的连续随机过程的积分。此外，我们获得了解决过程中解决过程的连续性的结果，该过程仅假定均匀收敛，但没有变化。我们还通过对发电机施加单调性和线性性来证明存在任意延迟的情况。最后，我们在基于保险的示例中提供了理论框架的应用。
We prove the existence and uniqueness of the solution of a BSDE with time-delayed generators in the small delay setting (or equivalently small Lipschitz constant), which employs the Stieltjes integral with respect to an increasing continuous stochastic process. Moreover, we obtain a result of continuity of the solution with regard to the increasing process, assuming only uniform convergence, but not in variation. We also prove the existence in the case of an arbitrary delay by imposing monotonicity and linearity on generators. Lastly, we provide an application of the theoretical framework within an insurance based example.
