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Latest revision as of 10:51, 16 July 2024

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Solutions to BSDEs driven by multidimensional fractional Brownian motions
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    Solutions to BSDEs driven by multidimensional fractional Brownian motions (English)
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    27 August 2018
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    Summary: We study more general backward stochastic differential equations driven by multidimensional fractional Brownian motions. Introducing the concept of the multidimensional fractional (or quasi-) conditional expectation, we study some of its properties. Using the quasi-conditional expectation and multidimensional fractional Itô formula, we obtain the existence and uniqueness of the solutions to BSDEs driven by multidimensional fractional Brownian motions, where a fixed point principle is employed. Finally, solutions to linear fractional backward stochastic differential equations are investigated.
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