Solutions to BSDEs driven by multidimensional fractional Brownian motions (Q1665780): Difference between revisions

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.