Applications of anticipated BSDEs driven by time-changing Lévy noises

Abstract

Abstract We study a very particular anticipated BSDEs when the driver is time-changing Lévy noise. We give an estimate of the solutions in the system satisfying some non-Lipschitz conditions. Also, we state an useful comparison theorem for the solutions. At last, we establish another specific Feynman-Kac formula for a quasilinear PDE.

Keywords

• anticipated BSDE
• an estimate of the solutions
• comparison theorem
• nonlinear Feynman-Kac formula