Affiliation:
1. Faculty of Mathematics, “Alexandru Ioan Cuza” University, Carol I Blvd., No. 9, Iasi 700506, Romania
Abstract
We study the existence and uniqueness of the strong solution for the following anticipated backward stochastic variational inequality with oblique subgradients, written under differential form: [Formula: see text] The generalized multivalued product term [Formula: see text] loses the maximal monotony property of its constituent subdifferential operator and, as a consequence, some specific techniques when approaching the above problem are mandatory. The univalued anticipated BSDE addressed in Peng and Yang [19] highlights the duality between these types of equations and stochastic differential delay equations, in order to solve a stochastic control problem. We also provide an example of an anticipated BSDE with time-dependent convex constraints, which can be reduced to our equation.
Publisher
World Scientific Pub Co Pte Lt